Brexit announcement effects on the UK stock market

A widely discussed topic nowadays, what is going to happen if a Brexit actually happens to the British economy, and more specifically to the British stock market? This paper attempts to find significance in the disturbances caused by the Brexit announcement starting from May 2015 till the referendum date June 2016. A very extensive literature review is done on the systematic factors affecting the stock market return. Data starting from 1995 is used to find this effect. A Power GARCH approach is used to model the data, in combination with a dummy variable to catch the effect of the Brexit announcement. In the end no significant results were found that indicate an effect of the Brexit dummy.