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All Journal Lead Journal of Economy and Administration Riset Akuntansi dan Keuangan Indonesia
Leonny Noviyana Sakti Pamungkas
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Mutual Fund Volatility in Election Years: Low Risk or High Risk? Riedwan Adhie Saputra; Leonny Noviyana Sakti Pamungkas; Setyaningtyas Honggowati
Lead Journal of Economy and Administration Vol 3 No 4 (2025): Lead Journal of Economy and Administration (LEJEA)
Publisher : International Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56403/lejea.v3i4.273

Abstract

This research aims to analyze the patterns of price fluctuations in mutual funds over a specific time frame, particularly in relation to political events such as national elections. The primary objective is to evaluate the risk levels of mutual funds in countries undergoing election cycles, which are often associated with heightened economic and political uncertainty. To achieve this, the study employs Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized ARCH (GARCH) models—two widely recognized econometric tools for analyzing time series data exhibiting volatility clustering. These models enable the classification and comparison of both low and high volatility conditions in mutual fund performance. The dataset comprises mutual fund data from 10 different countries, covering the period between 2019 and 2024. Each selected country has a mature mutual fund market with a focus on equity (stocks) and fixed-income (bonds) instruments. The findings reveal distinct variations in volatility levels among the countries studied, influenced by their respective political climates during election periods. The application of ARCH and GARCH modeling proves effective in capturing these fluctuations. The results offer valuable insights for investors seeking to minimize risk by diversifying their portfolios across more stable mutual funds, especially during times of political transition. This research contributes to better-informed investment decision-making in politically dynamic environments.
Stocks vs Mutual Funds in An Election Year: Which is More Profitable? Leonny Noviyana Sakti Pamungkas; Y Anni Aryani; Doddy Setiawan
Riset Akuntansi dan Keuangan Indonesia Vol. 10 No. 2 (2025): Riset Akuntansi dan Keuangan Indonesia
Publisher : Universitas Muhammadiyah Surakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23917/reaksi.v10i2.10305

Abstract

This study analyzes the reaction of stock markets and mutual funds to political events using a sample of 15 countries that held elections. In general, we document the returns before and after the elections and use t-test to determine the effect and f-test to measure the volatility of both. The results show that the short-term effect is significant for all mutual funds and only a few stocks are significant. In addition, with the same conditions, it does not necessarily have the same impact on the two instruments.  However, we only found the short-term impact. While the explanation is not too clear, investors may want to observe the economic impact on stocks and mutual funds arising from longer time horizons.
Co-Authors Doddy Setiawan Riedwan Adhie Saputra Setyaningtyas Honggowati Y Anni Aryani