Political Uncertainty and Stock Market Returns: Evidence from the 1995 Quebec Referendum

CIRPEE Working Paper No. 05-31

28 Pages Posted: 10 Nov 2005

See all articles by Marie-Claude Beaulieu

Marie-Claude Beaulieu

Laval University - Centre de recherche en économie et finance appliquée (CRÉFA)

Naceur Essaddam

Royal Military College of Canada - Department of Business Administration

Jean-Claude Cosset

HEC Montreal

Date Written: October 2005

Abstract

In this study, we investigate the short run effect of the October 30th, 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.

Keywords: Political uncertainty, stock market returns, 1995 Québec referendum

JEL Classification: G12, G14, G15, G31

Suggested Citation

Beaulieu, Marie-Claude and Essaddam, Naceur and Cosset, Jean-Claude, Political Uncertainty and Stock Market Returns: Evidence from the 1995 Quebec Referendum (October 2005). CIRPEE Working Paper No. 05-31, Available at SSRN: https://ssrn.com/abstract=841344 or http://dx.doi.org/10.2139/ssrn.841344

Marie-Claude Beaulieu

Laval University - Centre de recherche en économie et finance appliquée (CRÉFA) ( email )

Pavillon Palasis-Prince
Quebec G1K 7P4
Canada

Naceur Essaddam

Royal Military College of Canada - Department of Business Administration ( email )

P.O. 17000 Stn. Forces
Kingston, Ontario K7K 7B4
Canada
613-541-6000 Ext. 6259 (Phone)
613-541-6315 (Fax)

Jean-Claude Cosset (Contact Author)

HEC Montreal ( email )

3000, Chemin de la Côte-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada
514-340-6872 (Phone)
514-340-6987 (Fax)

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