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Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum

Author

Listed:
  • Marie-Claude Beaulieu
  • Jean-Claude Cosset
  • Naceur Essaddam

Abstract

In this study, we investigate the short run effect of the 30 October 1995 Quebec referendum on the common stock returns of Quebec firms. Our results show that the uncertainty surrounding the referendum outcome had an impact on stock returns of Quebec firms. We also find that the effect of the referendum varied with the political risk exposure of Quebec firms, that is, the structure of assets and principally the degree of foreign involvement.

Suggested Citation

  • Marie-Claude Beaulieu & Jean-Claude Cosset & Naceur Essaddam, 2006. "Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum," Canadian Journal of Economics, Canadian Economics Association, vol. 39(2), pages 621-642, May.
    • Handle: RePEc:cje:issued:v:39:y:2006:i:2:p:621-642
    DOI: 10.1111/j.0008-4085.2006.00363.x
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    Cited by:

    1. Goutam Dutta & Pankaj Jha & Arnab Kumar Laha & Neeraj Mohan, 2006. "Artificial Neural Network Models for Forecasting Stock Price Index in the Bombay Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(3), pages 283-295, December.
    2. Adams, R. J. C. & Campbell, Gareth & Coyle, Christopher & Turner, John D., 2022. "The wee divergence: Business creation and political turmoil in Ireland before 1900," QUCEH Working Paper Series 22-01, Queen's University Belfast, Queen's University Centre for Economic History.
    3. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Political uncertainty, COVID-19 pandemic and stock market volatility transmission," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    4. Julia Darby & Graeme Roy, 2019. "Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 314-330, May.
    5. Christopher Duquette & Franklin Mixon & Richard Cebula & Kamal Upadhyaya, 2014. "Prediction Markets and Election Polling: Granger Causality Tests Using InTrade and RealClearPolitics Data," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 42(4), pages 357-366, December.
    6. Marc Audi & Fiaz Ahmad Sulehri & Amjad Ali & Razan Al-Masri, 2022. "An Event Based Analysis of Stock Return and Political Uncertainty in Pakistan: Revisited," International Journal of Economics and Financial Issues, Econjournals, vol. 12(5), pages 39-56, September.
    7. Graham, Roger C. & Morrill, Cameron K.J. & Morrill, Janet B., 2012. "Does it matter where assets are held and income is derived? Further evidence of differential value relevance from Quebec," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 21(2), pages 185-197.
    8. Prakash Shrestha Ph.D. & Biggyan Raj Subedi, 2014. "Empirical Examination of Determinants of Stock Index in Nepal," NRB Working Paper 24/2014, Nepal Rastra Bank, Research Department.
    9. Wei, Qiao & Li, Wen Helena & De Sisto, Marco & Gu, Jinlong, 2020. "What types of top management teams' experience matter to the relationship between political hazards and foreign subsidiary performance?," Journal of International Management, Elsevier, vol. 26(4).
    10. Yashraj Varma & Renuka Venkataramani & Parthajit Kayal & Moinak Maiti, 2021. "Short-Term Impact of COVID-19 on Indian Stock Market," JRFM, MDPI, vol. 14(11), pages 1-15, November.
    11. Sulehri, Fiaz Ahmad & Ali, Amjad, 2020. "Impact of Political Uncertainty on Pakistan Stock Exchange (1990-1999): An Event Study Approach," MPRA Paper 104623, University Library of Munich, Germany.
    12. Hartwell, Christopher A. & Devinney, Timothy, 2021. "Populism, political risk, and pandemics: The challenges of political leadership for business in a post-COVID world," Journal of World Business, Elsevier, vol. 56(4).
    13. Karime Sleiman & Sayilir Özlem, 2019. "Political news and stock market reactions: evidence from Turkey over the period 2008–2017," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 55(2), pages 83-98, June.
    14. Muhammad Kashif & Fatima Sultana & Muhammad Atif & Muhammad Aslam & Ammara Sarwar & Umar Farooq Awan & Muhammad Wasif Hanif, 2023. "COVID-19 Attack on Stock Markets: Event Study and Panel Data Analysis of Organization of Islamic Countries (OIC)," Journal of Economic Impact, Science Impact Publishers, vol. 5(1), pages 50-63.
    15. Dey, Asim K. & Hoque, G.M. Toufiqul & Das, Kumer P. & Panovska, Irina, 2022. "Impacts of COVID-19 local spread and Google search trend on the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    16. Stephens, John & Mehdian, Seyed & Gherghina, Ștefan Cristian & Stoica, Ovidiu, 2023. "The reaction of the financial market to the January 6 United States Capitol attack: An intraday study," Finance Research Letters, Elsevier, vol. 56(C).
    17. Demissew Diro Ejara & Raja Nag & Kamal P. Upadhyaya, 2012. "Opinion polls and the stock market: evidence from the 2008 US presidential election," Applied Financial Economics, Taylor & Francis Journals, vol. 22(6), pages 437-443, March.
    18. Prakash Kumar Shrestha Ph.D. & Biggyan Raj Subedi, 2014. "Determinants of Stock Market Performance in Nepal," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 26(2), pages 25-40, October.
    19. A.E. Osuala & U.A. Onoh & G.U. Nwansi, 2018. "Presidential Election Results and Stock Market Performance: Evidence From Nigeria," Applied Economics and Finance, Redfame publishing, vol. 5(2), pages 117-124, March.
    20. Andrew C. Worthington, 2009. "Political Cycles in the Australian Stock Market since Federation," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 42(4), pages 397-409, December.

    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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