Stock prices may display predictable patterns around major political events, particularly in emerging market economies where political risk is a key component of asset risk premiums. One distinct event that would be expected to result in an abrupt increase in political risk is elections. Motivated by this notion, we study the returns for a set of indicator and sectoral indices of Borsa Istanbul stocks and the U.S. Dollar–Turkish Lira exchange rate around political elections held in Turkey over 2001–2020. Our tests reveal an accumulation of economically and statistically significant positive abnormal returns for all Borsa Istanbul stock indices and negative abnormal returns for the U.S. Dollar–Turkish Lira exchange rate over a window that starts as early as a month prior to the election date and extends for two weeks into the post-election period, with the effect being particularly strong in the week immediately following the election. Consistent with a political risk-based story, volatility of index returns starts increasing over the same period and plateaus out at a level that is roughly one-and-a half to two-folds greater than its pre-election period average.