Table 1
U.S. presidential elections and analysed event periods (2016, 2020, and 2024).
| U.S. presidential elections | Election date | Pre-election event period | Election event period |
|---|---|---|---|
| 2016 | 08.11.2016 | 19.10.2016–01.11.2016 | 02.11.2016–15.11.2016 |
| 2020 | 03.11.2020 | 14.10.2020–27.10.2020 | 28.10.2020–10.11.2020 |
| 2024 | 05.11.2020 | 16.10.2024–29.10.2024 | 30.10.2024–12.11.2024 |
Source: Own calculation based on data from LSEG Workspace.
Table 2
U.S. presidential elections and analysed event periods (2004, 2008, and 2012).
| U.S. presidential elections | Election date | Pre-election event period | Election event period |
|---|---|---|---|
| 2004 | 02.11.2004 | 13.10.2004–26.10.2004 | 27.10.2004–09.11.2004 |
| 2008 | 04.11.2008 | 15.10.2008–28.10.2008 | 29.10.2008–11.11.2008 |
| 2012 | 06.11.2012 | 17.10.2012–30.10.2012 | 31.10.2012–13.11.2012 |
Source: Own calculation based on data from LSEG Workspace.
Table 3
Placebo test periods in non-election years.
| Year | Placebo event date | Placebo pre-event period | Placebo event period |
|---|---|---|---|
| 2015 | 03.11.2015 | 14.10.2015–27.10.2015 | 14.10.2015–27.10.2015 |
| 2017 | 07.11.2017 | 18.10.2017–31.10.2017 | 18.10.2017–31.10.2017 |
| 2019 | 05.11.2019 | 16.10.2019–29.10.2019 | 16.10.2019–29.10.2019 |
| 2021 | 02.11.2021 | 13.10.2021–26.10.2021 | 13.10.2021–26.10.2021 |
| 2023 | 07.11.2023 | 18.10.2023–31.10.2023 | 18.10.2023–31.10.2023 |
Source: Own calculation based on data from LSEG Workspace.
Figure 1
Market reactions to U.S. presidential elections: S&P 500 index value and daily rates of return: (a) 2016, (b) 2020, and (c) 2024. Notes: The green vertical line denotes the election day, and the black vertical line indicates the start of the election event period.
Source: Own elaboration and calculation based on data from LSEG Workspace.
Table 4
Descriptive statistics of the S&P 500 during the analysed U.S. presidential election periods.
| U.S. presidential election | Descriptive statistics | Pre-election event period | Election event period |
|---|---|---|---|
| 2016 | Mean value | −0.13 | 0.32 |
| Standard deviation | 0.32 | 0.85 | |
| Variance | 0.10 | 0.71 | |
| Minimum | −0.68 | −0.65 | |
| Maximum | 0.47 | 2.20 | |
| 2020 | Mean value | −0.35 | 0.45 |
| Standard deviation | 0.83 | 1.77 | |
| Variance | 0.69 | 3.14 | |
| Minimum | −1.88 | −3.59 | |
| Maximum | 0.52 | 2.18 | |
| 2024 | Mean value | 0.03 | 0.26 |
| Standard deviation | 0.39 | 1.14 | |
| Variance | 0.16 | 1.30 | |
| Minimum | −0.92 | −1.88 | |
| Maximum | 0.47 | 2.50 |
Source: Own calculation based on data from LSEG Workspace.
Table 5
Two-sided F-test results.
| U.S. presidential election | F-statistic | p-value |
|---|---|---|
| 2016 | 0.15 | 0.009 |
| 2020 | 0.22 | 0.034 |
| 2024 | 0.12 | 0.004 |
Source: Own calculation based on data from LSEG Workspace.
Table 6
One-sided F-test results.
| U.S. presidential election | F-statistic | p-value |
|---|---|---|
| 2016 | 0.15 | 0.004 |
| 2020 | 0.22 | 0.017 |
| 2024 | 0.12 | 0.002 |
Source: Own calculation based on data from LSEG Workspace.
Table 7
Welch two-sample T-test results.
| US presidential election | t-statistic | p-value |
|---|---|---|
| 2016 | −1.58 | 0.142 |
| 2020 | −1.29 | 0.220 |
| 2024 | −0.59 | 0.567 |
Source: Own calculation based on data from LSEG Workspace.