We empirically study the perception of political uncertainty by UK’s stock markets, covering the entire Brexit period from January 2013 to March 2020. We find that indices dominated by the largest capitalized companies anticipate negatively perceived events already prior to the actual event, whereas positive events only effect them on the event day or following. In contrast, the FTSE 250, composed of medium-sized companies, tends to
move prior to positively perceived events. Furthermore, we investigate the daily perception of Brexit measured by a metric based on Google Trends. Our results show that perception significantly affects all major UK indices.