Stock market reactions to Brexit: Case of selected CEE and SEE stock markets

Artikel

The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern European (SEE) stock markets to the Brexit vote on 23 June 2016. Using daily data for the time span from January 2010 until July 2016 and the event study methodology (ESM), the return and volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned event. This is important for international investors and gives information on the reaction of mentioned markets to big political and economic events in order to tailor international portfolios in a way to hedge from risk.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-14 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Financial Econometrics ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: Brexit ; stock market reaction ; event study ; emerging markets ; abnormal return ; abnormal volatility

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Škrinjarić, Tihana
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2019

Weitere Informationen

• DOI: doi:10.3390/ijfs7010007
• Handle: http://hdl.handle.net/10419/195757
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ