Is uncertainty over Brexit damaging the UK and European equities?

The possibility the UK might leave the European Union –also known as Brexit– is a major source of concern. This article seeks to assess the costs of uncertainty over Brexit by delving into the impacts of the attention given to this event (via Google Trends and Twitter) on UK, German and French equities, while controlling for the effects of global financial and economic factors. We use different econometric tools enable to measure the strength of Brexit’ effect as alternative to tail distributions (quantile regression approach) and spectral components (frequency domain causality test). Despite a heaviest awareness that it is difficult to properly quantify the costs of uncertainty over Brexit, this study provides evidence that the severity of Brexit’ impact was not uniform across the investigated equities. Germany suffered most if the British exit from Europe happens, followed by France and UK. These results are fairly robust among the different methods and the internet proxies used