Impact of 17th Lok Sabha Elections on Indian Stock Market

The Lok Sabha elections in India are the most extensive and crucial elections conducted in this biggest democracy whichelects a government by the people, of the people and for the people. The 17th Lok Sabha elections was conducted in a time whenthe country was divided into two major sides, with BJP led NDA on one side and the other side consisted of all other parties whoseaim was to not let the BJP win. This paper studies the impact of the 17th Lok Sabha elections on the stock market, particularly onBSE Sensex and NSE Nifty 50 using the EGARCH model. The primary objective is to find out if the elections have caused volatilityin the stock market and if yes, whether positive and negative shocks have asymmetrical affect or a symmetrical effect on thevolatility. The total population of the study comprises of daily Sensex and Nifty returns for a period of 1 year (16th June 2018 –15th June 2019). It is concluded that there is an asymmetrical effect and hence negative shocks create more volatility in the stockmarket when compared to positive shocks.Index Terms - asymmetrical effect, EGARCH