The present study is an attempt to investigate the impact of an important event ‘Britain's exit from the EU, BREXIT, i.e., whether or not this even, whose referendum took place on June 23, 2016 with the result being reported in the early morning of June 24, 2016, resulted in causing any...

Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of...