The Effects of Myanmar’s 2020 General Election and 2021 Military Coup on Stock Market Returns
Keywords:
Abnormal Return, Event-Study Analyses, Myanmar Stock market, Political UncertaintyAbstract
Stock market returns are driven by political events. Investors adjust their behavior and reallocate their investments with respect to them. This study examines the effects of Myanmar’s 2020 general election and 2021 military coup on the Yangon Stock Exchange’s (YSX) returns. Myanmar is one of the fastest growing economies in the world, whereas its stock market is young and very small. This study applies the event-conditioning Kalman-filter regression which allows the normal returns to move randomly. The data are returns on the Myanmar Stock Price Index portfolio. The sample period is from May 29, 2020 to February 18, 2021 (171 daily observations). This study finds significant effects of the election and the coup. The daily-average abnormal returns during the first and second five-day periods prior to the election day are 0.2129% and 0.5596%, respectively, and are significant. However, these returns are non-significant on or after the election day. The abnormal returns associated with the coup, at –7.1141%, is significant only on the day of the coup. Although the market is only six years old and lists just six stocks, the stock market price is still able to reflect information on these political events.
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