This study analyzed the relationship between political instability and stock market returns using Philippines data. We measured political instability using three approaches: (a) indexes derived from the Google Trends Search Volume Index; (b) indexes created from keyword search in news articles; and (c) a list of specific political instability events. Applying Vector Autoregression (VAR) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) methods on the first two approaches, we found that political instability, in general, has no significant relationship with the level of stock market returns. However, some forms of political instability–particularly those related to strikes, protests, rallies, impeachment, coup d’etat, and rebellion–are associated with higher stock returns volatility. Meanwhile, applying event study methods on the third approach, we found that certain specific political instability events do affect the level of stock returns, even if overall political instability does not. The conclusion of impeachment trials, selected coup attempts, and certain presidential elections are some of the specific events that can affect the level of stock returns.