War and stock markets: The effect of World War Two on the British stock market |
| |
| Institution: | 1. Hull University Business School, University of Hull, United Kingdom;2. Southampton Business School, University of Southampton, United Kingdom;1. School of Economics, Finance and Accounting, Coventry University, William Morris Building, Priory Street, Coventry CV1 5FB, UK;2. School of Management, University of Leicester, Ken Edwards Building, University Road, Leicester LE1 7RH, UK;3. Lancaster University Management School, Lancaster University, Bailrigg, Lancaster LA1 4YX, UK;1. Webster Vienna Private University, Austria;2. University of Portsmouth, United Kingdom;3. University of Pretoria, South Africa;4. University of Thessaly, Greece |
| |
| Abstract: | This paper studies the effect of World War Two (WWII) on the British stock market. It contributes to the literature in several ways. First, this paper thoroughly investigates the impact of historically major events on the British stock market using a variety of empirical approaches in order to ensure a comprehensive examination of the impact of WWII on British stock returns. We utilise an event study of pre-selected historically major events, an investigation of the possible causes of the largest price movements as well as utilising an endogenous procedure testing for structural breaks. Secondly we extend the literature on behavioural finance and investor sentiment in extreme circumstances. In particular we examine the ‘negativity effect’, documented by Akhtar et al. (2011) and determine whether stock returns reacted more strongly to negative events or positive events. Overall we find limited evidence of strong links between war events and market returns although there is support for the ‘negativity effect’. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
