| This research focuses on general elections as one of the political events. Using the event study concept, the purpose of this research is to see the stock market’s reaction to general elections from abnormal returns. Samples of this research are 4 countries in Asia that doing general elections every five years. The calculation using daily stock index data that represent the sample’s country from the last five general elections. This research using 120 days of estimation period and 33 days of event period. The result shows that there is no significant difference in average abnormal return before and after the general election on five past general elections. This could happen due to many factors, including investor’s anticipation, investor’s behavior, and the speed and amount of spreading information. To determine which efficient market form in these countries, further research is needed. |