STOCK MARKET ANALYSIS DURING ELECTION PERIOD IN MALAYSIA

During election period, investors are interested in the movement of stock prices. This study focused on the performance of 10 sectors in Malaysian stock market and its reaction to the 11th, 12th and 13th General Election. The performance of stock market was determined using Sharpe Ratio, Treynor Ratio and Jensen Ratio; and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) was used to measure the effect of General Election on stock market performance. This paper also used Markov chain model in predicting the stock market trend during pre, post and on event of the 11th, 12th and 13th General Election. The results showed that the stock performance of 10 sectors is inconsistent for pre, during and post-election except for 12th General Election by using the Sharpe ratio. The Markov chain model is found to be suitable to predict the stock market trend in short term.