Abstract
| Language | English |
|---|---|
| Pages | 314-330 |
| Number of pages | 17 |
| Journal | Scottish Journal of Political Economy |
| Volume | 66 |
| Issue number | 2 |
| Early online date | 9 Jul 2018 |
| DOIs | |
| Publication status | Published - 31 May 2019 |
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Keywords
- Scottish independence referendum
- political uncertainty
- stock market volatility
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Political uncertainty and stock market volatility : new evidence from the 2014 Scottish Independence Referendum. / Darby, Julia; Roy, Graeme.
In: Scottish Journal of Political Economy, Vol. 66, No. 2, 31.05.2019, p. 314-330.Research output: Contribution to journal › Article
TY - JOUR
T1 - Political uncertainty and stock market volatility
T2 - Scottish Journal of Political Economy
AU - Darby, Julia
AU - Roy, Graeme
PY - 2019/5/31
Y1 - 2019/5/31
N2 - 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.
AB - 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.
KW - Scottish independence referendum
KW - political uncertainty
KW - stock market volatility
U2 - 10.1111/sjpe.12186
DO - 10.1111/sjpe.12186
M3 - Article
VL - 66
SP - 314
EP - 330
JO - Scottish Journal of Political Economy
JF - Scottish Journal of Political Economy
SN - 0036-9292
IS - 2
ER -