This paper studies the relationship between politics and stock returns in Stock Exchange of Thailand (SET). I find that political connections, on average, do not lead positive and significant abnormal returns in the market. However, the stock returns outstandingly increase 43.35% in 2003 when the firms were connected to cabinet. I also find that performance of firms connected to cabinet and firms connected to politician are higher than that of non-connected firms measured by Tobin's q ratio. In addition, political election insignificantly increased stock returns at the election week and affects the trading volumes at the next week after election week. Moreover, the election announcement affects some industries in different time periods. Interestingly, this study also discovers that both abnormal returns of connected firms and those of non-connected firms move the same direction. Nevertheless, trading volumes of connected firms are only significant around election date. This indicated that the investors think the connected firms have stronger connections at announcement date.