Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum
Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum
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政治不确定性和股市波动：2014 年苏格兰独立公投的新证据
DOI：
10.1111/sjpe.12186
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发表时间：
2018
影响因子：
1.1
通讯作者：
Darby J
中科院分区：
文献类型：
--
作者：
Darby J
我们调查了2014年苏格兰独立公投之前和之后政治不确定性加剧的影响。对于截至2013年底的样本，我们的苏格兰指数和富时全股指数股票回报的条件波动率具有相同的GARCH参数，但当估计范围更接近公投时，这一特征就不再成立了。当民意调查显示公投结果“难分胜负”时，苏格兰公司股票回报的相对波动性达到顶峰，随后有所回落，但在进一步下放权力的提案公布之前，股价再次上升。
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.