Divided Governments and Futures Prices

Elvira Sojli, WW Tham

Research output: Contribution to journalArticleAcademicpeer-review

2 Citations (Scopus)


This paper investigates the effect of divided governments on asset prices. For identification, we use changes in the implied probability of a divided government while votes are being counted. Using high frequency data from the betting market and US overnight futures market, we estimate a 1.4% decrease in the S&P 500 futures in the election event of a divided government. Results are similar for the 2010 UK election. Further analysis shows that divided government affects expected stock returns through the mechanism of policy uncertainty.
Original languageEnglish
Pages (from-to)622-633
Number of pages12
JournalJournal of Econometrics
Issue number2
Publication statusPublished - 11 Mar 2015

Research programs

  • RSM F&A


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