Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum

Darby, J. and Roy, G. (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. (doi: 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.

Item Type:Articles
Additional Information:Julia Darby gratefully acknowledges the support of ESRC grant ES/L003325/1 under The Constitutional Future of Scotland and the United Kingdom pre and post Referendum Initiative.
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Roy, Professor Graeme
Authors: Darby, J., and Roy, G.
College/School:College of Social Sciences
College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Scottish Journal of Political Economy
Publisher:Wiley
ISSN:0036-9292
ISSN (Online):1467-9485
Published Online:09 July 2018

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