According to Stock Trader's Almanac, 2000 is the first time in 40 years that stock market went south in an election year. Here is the scorecard for all election years in the last 40 years:
Year, S&P 500 Change, President Elected
1960, -3.0%, John F. Kennedy
1964, 13.0%, Lyndon Johnson
1968, 7.7%, Richard Nixon
1972, 15.6%, Richard Nixon
1976, 19.1%, Jimmy Carter
1980, 25.8%, Ronald Reagan
1984, 1.4%, Ronald Reagan
1988, 12.4%, George H. Bush
1992, 4.5%, Bill Clinton
1996, 20.3%, Bill Clinton
2000, -10.1%, George W. Bush
In addition, one may argue 2000 is a year of exception because of the uncertainties surrounding the contested election results through the very end of the year.
What's in it for 2004?
(P.S. People interested in this topic should also read this Bloomberg article.)