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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | An Empirical Analysis on the European Stock Market Around the Referendum for the Brexit |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 58 |
| Date | 2018 |
| Abstract Text | On June 23, 2016, the British people have voted to leave the European Union through their referendum. Using the multivariate regression model methodology, this paper investigates the reaction of the Brexit referendum on the European stock market. This study differs from other studies of market reactions to unanticipated events because of its analysis on diverse portfolios in terms of various countries and sectors. This paper examines the market reaction on June 23, the referendum date and three trading days afterwards. Divided by two parts in the analysis, first, time series results provide evidence of rational pricing, and suggest that the market differentiated among various firms. Cross-sectional results for the abnormal returns on June 24 when the referendum result announced suggest that the market was concerned about the increased likelihood of financial distress from the Leave vote and distinguished firms based on their sectors. |
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