Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets

Robert Hudson, Andrew Urquhart and Hanxiong Zhang ()

European Economic Review, 2020, vol. 129, issue C

Abstract: This paper investigates whether the impact of Brexit on financial markets is consistent with rational asset pricing models using 34 financial indices. Our results indicate that, whilst Brexit events affect both the risk and returns of stocks, the returns on event days are largely justified by the risk and the risk premium on those days. Our results support the appropriateness of rational asset pricing models even in a period of such high political uncertainty and potentially raised sentiment.

Keywords: Event study; EU referendum; Risk; Investor sentiment; Market efficiency (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:129:y:2020:i:c:s0014292120301549

DOI: 10.1016/j.euroecorev.2020.103523

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