STOCK MARKET REACTION TO BREXIT ANNOUNCEMENTS: EVIDENCE FROM A NATURAL EXPERIMENT

IF 1 Q3 ECONOMICS
Júlio Lobão, S. Santos
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引用次数: 2

Abstract

Using four Brexit-related announcements as a source of exogenous information shocks, we investigate the semi-strong form of efficiency in seven major European stock markets. Our results suggest that only the announcement of the Brexit referendum result produced statistically significant negative cumulative abnormal returns in the markets of the sample. However, with the exception of the Irish stock market, the effects ceased to be significant in a period of five trading sessions after the event. We also document an increase in trading activity, though statistically insignificant, in the day of the referendum and in the following days. Overall, our results are in line with the semi-strong form of market efficiency.
股市对英国脱欧公告的反应:来自自然实验的证据
我们使用四个与英国脱欧相关的公告作为外生信息冲击的来源,研究了七个主要欧洲股票市场的半强效率形式。我们的研究结果表明,只有英国脱欧公投结果的公布才会在样本市场上产生具有统计学意义的负累积异常回报。然而,除爱尔兰股市外,这种影响在事件发生后的五个交易日内不再显著。我们还记录了在公投当天和随后几天交易活动的增加,尽管在统计上微不足道。总的来说,我们的结果符合市场效率的半强形式。
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来源期刊
CiteScore
1.60
自引率
14.30%
发文量
4
期刊介绍: The GEJ seeks to publish original and innovative research, as well as novel analysis, relating to the global economy. While its main emphasis is economic, the GEJ is a multi-disciplinary journal. The GEJ''s contents mirror the diverse interests and approaches of scholars involved with the international dimensions of business, economics, finance, history, law, marketing, management, political science, and related areas. The GEJ also welcomes scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations. One over-arching theme that unites IT&FA members and gives focus to this journal is the complex globalization process, involving flows of goods and services, money, people, and information.
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