FA 582 Financial Data Analytics · Stevens Institute of Technology · Fall 2024

Elections and the market

We compared returns and trading volume around six U.S. presidential elections from 2004 to 2024. Our tests found no statistically significant difference in returns. Trading volume was generally higher on the following day. I worked on the volume analysis.

Day after Election Day

volume, % of 20-day average · mean of 6 elections
Authors
Zhenhan Chen · Umar Farouk
Data
Yahoo Finance daily Nasdaq Composite (IXIC) and NYSE Composite (NYA)
Elections
2004, 2008, 2012, 2016, 2020, 2024
Methods
Volume ÷ 20-day moving average · t-tests · Wilcoxon signed-rank · regression
01

Volume around Election Day

Each bar is that day's volume as a share of the 20-day moving average measured on Election Day. 100% means an ordinary day.

Data table
02

Volume by election

Day-after volume exceeds the 20-day baseline in five of the six elections on both indices. The exception is 2008. The financial crisis complicates comparisons with that year.

03

Return tests

Comparing Election Day returns with the surrounding period found no significant difference on either index.

IndexTestp-valueReading
Nasdaq CompositeElection-day returns vs. surrounding days0.301not significant
NYSE CompositeElection-period returns vs. surrounding days0.171not significant
NYSE CompositeDay-after volume vs. 20-day average (Wilcoxon)< 0.01significant

The report interprets the increase in volume as investors responding to election outcomes. The tests do not isolate that explanation from other events. A statistically insignificant return result does not mean prices stayed unchanged. With only six elections, this is a descriptive comparison.

The report gives a Nasdaq day-after volume increase of 41.98%, which differs from the mean of the six plotted election values (about 19.1%). The charts here use the plotted values. Umar Farouk analyzed returns; I analyzed trading volume.