The effect of Malaysia general election on stock market returns

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Table 2 General election effect

N	1995	(9th GE)		1999	(10th GE)		2004	(11th GE)		2008	(12th GE)		2013	(13th GE)
N	β ₀	β ₁	β ₂	β ₀	β ₁	β ₂	β ₀	β ₁	β ₂	β ₀	β ₁	β ₂	β ₀	β ₁	β ₂
15	−0.09	0.15	0.35	0.06	0.11	0.31	0.07	0.13	−0.22	−0.02	−0.62*	−0.20	0.02	−0.07	0.26*
	−1.00	0.45	1.03	0.56	0.27	0.75	1.26	0.60	−1.08	−0.20	−1.97	−0.63	0.55	−0.45	1.75
30	−0.14	0.29	0.37	0.01	0.03	0.59*	0.06	0.32**	−0.31**	−0.05	−0.16	0.03	0.00	0.13	0.15
	−1.48	1.18	1.49	0.08	0.11	1.94	1.05	2.14	−2.06	−0.57	−0.69	0.13	−0.05	1.19	1.40
60	−0.23	0.38*	0.36*	−0.07	0.10	0.54**	0.09	0.16	−0.27*	−0.03	−0.14	−0.02	−0.01	0.08	0.12
	−2.10	1.92	1.81	−0.52	0.43	2.22	1.27	1.33	−2.22	−0.25	−0.76	−0.10	−0.27	0.86	1.30
90	−0.28	0.32	0.31	0.11	−0.22	0.15	0.17	−0.05	−0.25**	0.03	−0.07	−0.18	0.02	0.00	0.03
	−1.86	1.59	1.53	0.60	−0.89	0.58	1.80	−0.37	−2.04	0.19	−0.39	−0.95	0.30	0.05	0.32

GE denotes general election. The results are estimated from Eq. (1) based on a sample of 124 trading days before and 124 trading days after each general election. N denotes the size of the trading window. β ₀ represents the intercept term, where as β ₁ and β ₂ are coefficients of the dummy variables for N trading days before and after the election date respectively. The t-statistics are given in italic below the respective estimated coefficients
* and ** Significant at 10 and 5% significance level respectively. The significance of the estimated β ₁ and β ₂ implies there is before-election-effect and after-election-effect respectively