Impact of exogenous shocks on financial markets: An empirical and experimental approach.

Summary This research work strives to better understand the effects of one or more exogenous shocks in a financial market. More precisely, we attempt to study the impact of an informational shock on asset price behavior, speculative bubbles, price volatility, trading volume and analysts' forecasts. Thus, to do this, we break down the problem into three articles. The first paper presents an empirical analysis that tests the effects of an expected exogenous shock - the Brexit announcement - on the short-run and long-run performance of British and European listed firms. Our results show that the Brexit announcement negatively impacts the long-run performance of British and European firms since they do most of their business with the British area. In the second test,we test the effects of an expected and unexpected exogenous shock to fundamental value in an experimental market. Our results show that shocks have a negative effect on price deviation from fundamental value and a positive effect on belief heterogeneity regardless of the type of shock, expected or unexpected, and regardless of its direction, up or down. The third paper focuses on the effects of multiple unexpected shocks in an experimental market. Our main results are that multiple downward shocks reduce trading volume and price volatility while multiple upward shocks have no effect on trading volume and increase price volatility. Finally, we observe, only in markets without shocks, a positive relationship between trading volume and belief heterogeneity.