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

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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.
Original languageEnglish
Pages (from-to)314-330
Number of pages17
JournalScottish Journal of Political Economy
Issue number2
Early online date9 Jul 2018
Publication statusPublished - 31 May 2019


  • Scottish independence referendum
  • political uncertainty
  • stock market volatility

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