Impact of Brexit vote on the London stock exchange: A sectorial analysis of its volatility and efficiency

The introduction and continual ambiguity surrounding Brexit vote has brought attention to the volatility of the London Stock Exchange (LSE). Using wavelets to decompose financial time series into short-term and long-term components, we study the volatility and efficiency of the different sectors in LSE around Brexit vote events. The results reveal that while the overall volatility reduced, various sectors within LSE behaved differently. Furthermore, the efficiency of the British stock market worsened drastically during the uncertainty of the Brexit vote.