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Political uncertainty and stock market volatility: New evidence from the 2014 Scottish independence referendum

From: 21 Sep 2018 - 15:00 To: 21 Sep 2018 - 16:00

Political uncertainty and stock market volatility: New evidence from the 2014 Scottish independence referendum

Professor Julia Darby from the Department of Economics, University of Strathclyde will present her research as part of the Economics Speaker Series this Friday

DEPARTMENT OF ECONOMICS VISITING SPEAKER SERIES

Professor Julia Darby (Department of Economics, University of Strathclyde) will present a paper entitled Political uncertainty and stock market volatility: New evidence from the 2014 Scottish independence referendum

  Date   Friday 21st September                
  Time   3:00 pm
  Venue   Room 2.15, Aras na Laoi, UCC

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.  The paper is now forthcoming in the Scottish Journal of Political Economy and the early online version is available here.

About the Speaker
Julia Darby is a Professor of Economics at the University of Strathclyde. She is a graduate of University College, Cardiff and the University of York and has previously worked at the Universities of Glasgow and Stirling and at the National Institute of Economic and Social Research. Julia’s research spans a number of areas of Applied Macroeconomics and she is currently enjoying a semester on sabbatical/research leave, having just finished a term as Head of Department at Strathclyde.

All very welcome to attend.  

For more information, contact the Department of Economics

 

 

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