This paper investigates the impact of Brexit events on the behaviour of 34 financial indices from 1st January 2012 to 26th April 2017. Our focus is to evaluate whether the impact of Brexit on financial markets is consistent with rational asset pricing models. The empirical research uses a...

This free software guide for Stata with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular software package. Designed to be used alongside the main...

This paper provides a systematic review of the empirical literature on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009. Despite astonishing price appreciation in recent years, cryptocurrencies have been...

We show that expected returns on US stocks and all major stock world market indices are non-linearly dependent on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. This property can be captured by a...