This paper discussed how abrupt changes of the stock price index could be linked to uncertainties in the political events in Korea. Using the presidential regimes as proxies for political uncertainty, I first tested for the question of whether return generating processes of the respective presidential regimes were different from those of other regimes. Then, using the logic of sequential testing procedures, I investigated the existence of the possible break points in the stock index returns. The following results were obtained. First, the financial crisis in 1997 is confirmed to have greatly influenced the return and volatility generating processes of the Korean stock market. Second, when the model incorporated unexpected changes of macroeconomic variables, I found that the structural break points had existed several months earlier than the official announcement of the beginning of the IMF-controlled period. Third, I also found that the break points occurred around a point of presidential regime changes, which was taken as partial evidence for the impact of the political factors on the behavior of the stock market.