Title Page
Research Department
Contents
I. Introduction
II. The Referendum and Betting Platform
III. The Data
IV. Analysis
A. Impact of referendum expectations on nominal exchange rates
B. Impact of the referendum on UK equity markets
C. Impact of the referendum on European equity markets
D. Role of Trade Exposure
V. Robustness
A. Alternative fixed effects
B. Restricted sample
C. Non-linearities
D. Effects beyond immediate impact
VI. Conclusion
A. Equity regressions, full sample period
B. Robustness tables
C. Data description
Figures
Figure 1. Policy uncertainty and the British EU Referendum in 2016
Figure 2. Betting Market Structure on the Betfair Platform
Figure 3. Market Perceived Probability of a Leave Result
Figure 4. Trade Volume and Cumulative Distribution
Figure 5. Probability of Leave Result and GBP/EUR
Figure 6. Probability of Leave Result and FTSE100
Figure 7. Poll Result Releases
Tables
Table 1. Impact of Perceived Probability of Leave on Exchange Rate (5 Minutes)
Table 2. Impact of Perceived Probability of “Leave” on Exchange Rates (10 Minutes)
Table 3. Impact of Perceived Probability of “Leave” on FSTE Sectors, (5 Minutes)
Table 4. Impact of Perceived Probability of “Leave” on FSTE Sectors, (10 Minutes)
Table 5. Impact of Perceived Probability of “Leave” on EU Equities, (5 Minutes)
Table 6. Impact of Perceived Probability of “Leave” on EU Equities, (10 Minutes)
Table 7. Estimated Impact of Perceived Probability of on UK and European Equities, Controlling for Trade
Table 8. Impact of Perceived Probability of “Leave” on FSTE Sectors, (5 Minutes, Full Sample)
Table 9. Impact of Perceived Probability of “Leave” on FSTE Sectors, (10 Minutes, Full Sample)
Table 10. Impact of Perceived Probability of “Leave” on EU Equities, (5 Minutes, Full Sample)
Table 11. Impact of Perceived Probability of “Leave” on EU Equities, (10 Minutes, Full Sample)
Table 12. Impact of Perceived Probability of “Leave” on Exchange Rate, half hour FE
Table 13. Impact of Perceived Probability of “Leave” on FSTE Sectors, Half Hour FE
Table 14. Impact of Perceived Probability of “Leave” on EU Equities, Half Hour FE
Table 15. Impact of Perceived Probability of “Leave” on Exchange Rate, Daily FE
Table 16. Impact of Perceived Probability of “Leave” on FSTE Sectors, Daily FE
Table 17. Impact of Perceived Probability of “Leave” on EU Equities, Daily FE
Table 18. Impact of Percevied Probability of “Leave” on Exchange Rates, Restricted Sample
Table 19. Estimated Impact of Perceived Probability of Leave on FSTE, by Sector, Restricted Sample
Table 20. Impact of Perceived Probability of “Leave” on EU Equities, Restricted Sample
Table 21. Impact of Percevied Probability of “Leave” on Exchange Rates, Asymmetries
Table 22. Impact of Perceived Probability of “Leave” on FSTE Sectors, P(Leave)<0
Table 23. Impact of Perceived Probability of “Leave” on FSTE Sectors, P(Leave)>0
Table 24. Impact of Perceived Probability of “Leave” on EU Equities, P(leave)<0
Table 25. Impact of Perceived Probability of “Leave” on EU Equities, P(leave) >0
Table 26. Effects beyond Immediate Impact of Perceived Probability of “Leave” on GBP/BC
Table 27. Effects beyond Immediate Impact of Perceived Probability of “Leave” on FTSE 100
Table 28. Impact of Perceived Probability of “Leave” on FTSE Index, Controlling for Trade Exposure
Table 29. Impact of Perceived Probability of “Leave” on EU Equities, Controlling for Trade Exposure
Table 30. FTSE 350 Supersector Indices
Table 31. Euro Area Stock Market Indices
Appendixes
VII. Annexes