Political events and stock market volatility: Evidence from South-East Asia countries

Abstract

This study investigates the impact of political events on the stock market volatility in South-East
Asia countries from 2010 to 2019. Using univariate and multivariate GARCH models with dummy variables
to study the behaviour of the market before and after the event, we find that the volatility of stock market
decreases significantly after the political reform. This finding is important in understanding the behaviour of
the stock market and may benefit to market participants and regulators.