Political uncertainty and stock market volatility : new evidence from the 2014 Scottish Independence Referendum
Darby, Julia and Roy, Graeme (2019) Political uncertainty and stock market volatility : new evidence from the 2014 Scottish Independence Referendum. Scottish Journal of Political Economy, 66 (2). pp. 314-330. ISSN 0036-9292 (https://doi.org/10.1111/sjpe.12186)
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Abstract
We investigate the impact of heightened political uncertainty in the run-up to, and after, the 2014 Scottish independence referendum. The conditional volatilities of stock returns of our Scottish index and the FTSE all share index are characterised by the same GARCH parameters for a sample ending in late 2013, but this no longer holds when estimation extends closer to the referendum. The relative volatility of Scottish companies’ stock returns peaked when polls indicated the referendum result was “too close to call”, fell back on the result, but rose again in the run up to publication of proposals for further devolution.
ORCID iDs
Darby, Julia ORCID: https://orcid.org/0000-0003-4425-7222 and Roy, Graeme;-
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Item type: Article ID code: 64564 Dates: DateEvent31 May 2019Published9 July 2018Published Online15 June 2018AcceptedSubjects: Social Sciences > Communities. Classes. Races > Regional economics. Space in economics
Social SciencesDepartment: Strathclyde Business School > Economics
Strathclyde Business School > Fraser of Allander InstituteDepositing user: Pure Administrator Date deposited: 22 Jun 2018 08:58 Last modified: 02 Oct 2024 00:31 URI: https://strathprints.strath.ac.uk/id/eprint/64564