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The impact of BREXIT vote on stock returns - an event study on European bank industry

Bonchev, Lachezar LU and Pencheva, Mariya LU (2017) NEKN02 20171
Department of Economics
Abstract
The study focuses on the impact of United Kingdom’s vote for leaving the European Union on the banks stocks in Europe. The tool used for measuring this impact is event study. Putting the center of attention on the banking industry, we investigate 63 major banks in Europe. Abnormal returns are defined by using the well-known market model. As expected, the results show that banks experience significant negative abnormal returns. To find what could be the potential factors that have an effect on the returns, a linear regression is specified. Its results show that two factors that have a significant effect were the size of the bank and its domestic accounts, i.e. its orientation towards international markets.
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author
Bonchev, Lachezar LU and Pencheva, Mariya LU
supervisor
organization
course
NEKN02 20171
year
type
H1 - Master's Degree (One Year)
subject
keywords
Event study, Brexit, stock returns, bank industry, abnormal returns
language
English
id
8925454
date added to LUP
2017-09-12 15:24:07
date last changed
2017-09-12 15:24:07
@misc{8925454,
  abstract     = {The study focuses on the impact of United Kingdom’s vote for leaving the European Union on the banks stocks in Europe. The tool used for measuring this impact is event study. Putting the center of attention on the banking industry, we investigate 63 major banks in Europe. Abnormal returns are defined by using the well-known market model. As expected, the results show that banks experience significant negative abnormal returns. To find what could be the potential factors that have an effect on the returns, a linear regression is specified. Its results show that two factors that have a significant effect were the size of the bank and its domestic accounts, i.e. its orientation towards international markets.},
  author       = {Bonchev, Lachezar and Pencheva, Mariya},
  keyword      = {Event study,Brexit,stock returns,bank industry,abnormal returns},
  language     = {eng},
  note         = {Student Paper},
  title        = {The impact of BREXIT vote on stock returns - an event study on European bank industry},
  year         = {2017},
}