QUANTIFYING THE EFFECTS OF BREXIT VIA THE APPLICATION OF EVENT STUDY METHODOLOGY

Nenad Tomić, Violeta Todorović, Aleksandra S. Vasić

DOI Number
https://doi.org/10.22190/TEME210204018T
First page
267
Last page
279

Abstract


The effects of the EU-UK Withdrawal Agreement, reached on 17 October 2019, on the stocks listed on the London Stock Exchange are the subject of the paper. The classic event study methodology was used to quantify impact. This research is based on a sample of 138 stocks, divided into five sample sections according to the company’s business sector. In contrast to the research conducted after the referendum, which showed a clear negative impact on almost all of the observed sectors, the research conducted in this paper does not provide a unique conclusion. Three sectors recorded obvious positive effects, namely the financial sector, the food industry, and the medical sector, while no sector suffered obvious negative effects. The remaining two sectors did not provide data to aid in reaching a clear conclusion, as there were positive, negative and statistically insignificant results across different tests.


Keywords

event study, abnormal return, Brexit, parametric tests, non-parametric tests

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References


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DOI: https://doi.org/10.22190/TEME210204018T

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