 War and stock markets: The effect of World War Two on the British stock marketRobert Hudson and Andrew Urquhart International Review of Financial Analysis, 2015, vol. 40, issue C, 166-177 Abstract: This paper studies the effect of World War Two (WWII) on the British stock market. It contributes to the literature in several ways. First, this paper thoroughly investigates the impact of historically major events on the British stock market using a variety of empirical approaches in order to ensure a comprehensive examination of the impact of WWII on British stock returns. We utilise an event study of pre-selected historically major events, an investigation of the possible causes of the largest price movements as well as utilising an endogenous procedure testing for structural breaks. Secondly we extend the literature on behavioural finance and investor sentiment in extreme circumstances. In particular we examine the ‘negativity effect’, documented by Akhtar et al. (2011) and determine whether stock returns reacted more strongly to negative events or positive events. Overall we find limited evidence of strong links between war events and market returns although there is support for the ‘negativity effect’. Keywords: Investor sentiment; WWII; Structural breaks; Event study; FT30 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:40:y:2015:i:c:p:166-177 DOI: 10.1016/j.irfa.2015.05.015 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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