Article ID Journal Published Year Pages File Type
7352248 Finance Research Letters 2017 10 Pages PDF
Abstract
I investigate how sentiment contributed to the build-up of volatility of the constituents of the FTSE100 in the aftermath of the ”yes” to the UK Brexit referendum of Thursday June 23, 2016. Sentiment is estimated as the sensitivity of stock volatility to market and exchange rate volatility, respectively. Under the hypothesis that rational investors would become either sentimentalists or fundamentalists on a day of extreme, a U-shaped pattern will result. I document a damped U-shaped pattern that describes the way rational investors moved to acquire high trading stocks and to float low trading stocks.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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