What do general elections mean for the stock market: A Digong effect?: The case of selected emerging Asian markets

Date of Publication


Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management


Ramon V. Del Rosario College of Business


Financial Management Department

Thesis Adviser

Kristine Mae Lagdameo

Defense Panel Member

Dulani Jayasuriya

April Beryl De leon


This paper examined the behavior of the stock markets of these selected emerging Asian markets : India, Indonesia, Malaysia, Philippines, South Korea, Taiwan and Thailand during their last two recent general elections for the years 2007 to 2016. Moreover, the researchers determined the effects of the 2016 Philippine elections on the stock markets of the aforementioned countries. Event study methodology was used to determine the existence of abnormal returns for the event windows of 61 (-30,+30), 31(-15,+15), 21(-10,=10), AND 11 (-5,+5) days surrounding the election date. The GARCH model was performed to determine the persistence of stock volatility during the elections. Lastly, the Granger causality test was used to determine whether causality runs between the 2016 Philippine election and the stock markets of Malaysia, Thaliand, Indonesia, India, South Korea, and Taiwan. Results have shown that abnormal returns and stock volatility were found in all the emerging Asian markets during their respective general elections. Also, a unidirectional casual relationship runs from the Philippines to Malaysia, Thailand, and South Korea. Together, these findings suggest that the selected emerging Asian markets exhibit semi-strong form of market efficiency because they are sensitive to political risks, macroeconomic conditions, and news affecting the Asian region.

Abstract Format






Accession Number


Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

177, 4 leaves : illustrations ; 29 cm. + 1 computer disc ; 4 3/4 in.


Stock exchanges and current events--Asia

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