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Volatility patterns of the constituents of FTSE100 in the aftermath of the U.K. Brexit referendum

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dc.contributor.author Ben Sita, Bernard
dc.date.accessioned 2017-07-20T09:54:59Z
dc.date.available 2017-07-20T09:54:59Z
dc.date.copyright 2017 en_US
dc.identifier.issn 1544-6123 en_US
dc.identifier.uri http://hdl.handle.net/10725/5929
dc.description.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. en_US
dc.language.iso en en_US
dc.title Volatility patterns of the constituents of FTSE100 in the aftermath of the U.K. Brexit referendum en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.relation.journal Finance Research Letters en_US
dc.article.pages 1-10 en_US
dc.keywords Volatility en_US
dc.keywords Investors’ sentiment en_US
dc.keywords Brexit en_US
dc.keywords U-Shaped pattern en_US
dc.identifier.doi https://doi.org/10.1016/j.frl.2017.02.011 en_US
dc.identifier.ctation Sita, B. B. (2017). Volatility patterns of the constituents of FTSE100 in the aftermath of the UK Brexit referendum. Finance Research Letters. en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.sciencedirect.com/science/article/pii/S1544612317300478 en_US
dc.author.affiliation Lebanese American University en_US


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