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THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS

Yıl 2021, Cilt: 14 Sayı: 1, 108 - 109, 31.12.2021
https://doi.org/10.17261/Pressacademia.2021.1497

Öz

Purpose- This study attempts to identify the consequences that had the BREXIT referendum over the United Kingdom's Capital Markets. By
reviewing the available studies done until now on this topic and the financial literature about the constant changes over the market we will
try to analyze the impacts of the British Citizens’ decision to leave the European Union on the capital market during the transition period.
Methodology- We estimate the UK policy uncertainty in front of such a problematic situation, and the results of such uncertainty about
BREXIT in interaction with the volatilities caused in the financial markets by taking into consideration the pre and after BREXIT period, by
analyzing data sets based on the statistics released by financial institutions to check the changes on levels and values of the Stock Exchange.
Our main focus is on analyzing the volatility and market changes as a result of unexpected and new ongoing events. Hence we study the
values of Abnormal Returns and their relevant statistical information derived from the political situation and policy uncertainties in the
country..
Findings- An event study with 30 event windows for a portfolio of average abnormal returns of the top 10 selected constituents of the
FTSE100 has been applied by using the GARCH model to measure the volatility. The shocking results of the referendum have affected
negatively in the UK's stock exchange market, providing a high scale of volatility meaning that the market is beyond the normality levels
where high risk is present. We notice that the larger influence of new announcements is set to be observed during the period of 5 trading
days before and on the event day, while in the following 5 trading days after the announcement has been made the effect on volatility tends
to diminish.
Conclusion- In general, it has been found that Brexit has created negative consequences over the market throughout our examination period.

Kaynakça

  • Arshad, S., Rizvi, S. A., & Haroon, O. (2020). Impact of Brexit vote on the London stock exchange: A sectorial analysis of its volatility and efficiency. Finance Research Letters, 34. doi:https://doi.org/10.1016/j.frl.2019.07.013
  • Bashir, U., Zebende, G. F., Yu, Y., Hussain, M., Ali, A., & Abbas, G. (2019). Differential market reactions to pre and post Brexit referendum. Physica A, 515, 151-158. doi:https://doi.org/10.1016/j.physa.2018.09.182
  • Berndt, E., Hall, B. H., Hall, R. E., & Hausman, J. A. (1974). Estimation and Inference in Non-Linear Structural Models. Annals of Economic and Social Measurement, 4, 653-665.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. doi:10.1016/0304- 4076(86)90063-1
  • Brooks, C. (2008). Introductory Econometrics for Finance (2nd ed.). Cambridge University Press.
  • Burnham, K. P., & Anderson, D. R. (2004). Multimodel Inference Understanding AIC and BIC in Model Selection. Sociological Methods & Research, 33(2), 261-304. doi:10.1177/0049124104268644
  • Davies, R. B., & Studnicka, Z. (2018). The Heterogeneous Impact of Brexit: Early Indications from the FTSE. European Economic Review, 110, 1-17.
  • Dhingra, S., Ottaviano, G., Sampson, T., & Reenen, J. V. (2016). The consequences of Brexit for UK trade and living standards (Vol. 2). London : Centre for Economic Performance, London Schooll of Economics and Political Science.
  • Fakhry, B. (2019). Did Brexit change the behaviour of the UK’s financial markets? In B. Fakhry, Behavioural Finance Reviews on EuroZone and Brexit (pp. 65-97). KSP Books.
  • FTSE Russell. (2019, November 19). FTSE UK Index Series. Retrieved from FTSE Russell: https://www.ftserussell.com/products/indices/uk
  • Kenourgios, D., Dadinakis, E., & Tsakalos, I. (2020). Brexit referendum and European stock markets: a sector analysis. Managerial Finance, 46(7), 913-933. doi:10.1108/MF-07-2019-0366
  • Kirchgässner, G., & Wolters, J. (2007). Introduction to Modern Time Series Analysis. Springer.
  • LINTNER, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37. doi:10.2307/1924119
  • MacKinlay, C. (1997, March). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13-39. doi:10.2307/2729691
  • Morillas, P. (2016, June). CIDOB. Retrieved from The Brexit Scenarios: towards a new UK-EU relationship: https://www.cidob.org/es/publicaciones/serie_de_publicacion/documents_cidob/the_brexit_scenarios_towards_a_new_uk_eu_relations hip
  • Nasir, M. A., & Morgan, J. (2018). Pre-Brexit The EU referendum as an illustration of the effects of uncertainty on the Sterling exchange rate. Journal of Economic Studies, 45(5), 910-921. doi:10.1108/JES-07-2017-0205
  • Oehler, A., Horn, M., & Wendt, S. (2017). Brexit: Short-term stock price effects and the impact of firm-level internationalization. Finance Research Letters, 22, 175-181. doi:10.1016/j.frl.2016.12.024
  • Shahzad, K., Rubbaniy, G., Lensvelt, M., & Bhatti, T. (2019). UK's stock market reaction to Brexit process: A tale of two halves. Economic Modelling, 80, 275-283. doi:10.1016/j.econmod.2018.11.013
  • SHARPE, W. F. (1964, September). CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK. The journal of FINANCE, 19(3), 425-442. doi:https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
  • Smales, L. A. (2016). “Brexit”: A Case Study in the Relationship Between Political and Financial Market Uncertainty. International Review of Finance, 17(3), 451-459. doi:10.1111/irfi.12100
Yıl 2021, Cilt: 14 Sayı: 1, 108 - 109, 31.12.2021
https://doi.org/10.17261/Pressacademia.2021.1497

Öz

Kaynakça

  • Arshad, S., Rizvi, S. A., & Haroon, O. (2020). Impact of Brexit vote on the London stock exchange: A sectorial analysis of its volatility and efficiency. Finance Research Letters, 34. doi:https://doi.org/10.1016/j.frl.2019.07.013
  • Bashir, U., Zebende, G. F., Yu, Y., Hussain, M., Ali, A., & Abbas, G. (2019). Differential market reactions to pre and post Brexit referendum. Physica A, 515, 151-158. doi:https://doi.org/10.1016/j.physa.2018.09.182
  • Berndt, E., Hall, B. H., Hall, R. E., & Hausman, J. A. (1974). Estimation and Inference in Non-Linear Structural Models. Annals of Economic and Social Measurement, 4, 653-665.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. doi:10.1016/0304- 4076(86)90063-1
  • Brooks, C. (2008). Introductory Econometrics for Finance (2nd ed.). Cambridge University Press.
  • Burnham, K. P., & Anderson, D. R. (2004). Multimodel Inference Understanding AIC and BIC in Model Selection. Sociological Methods & Research, 33(2), 261-304. doi:10.1177/0049124104268644
  • Davies, R. B., & Studnicka, Z. (2018). The Heterogeneous Impact of Brexit: Early Indications from the FTSE. European Economic Review, 110, 1-17.
  • Dhingra, S., Ottaviano, G., Sampson, T., & Reenen, J. V. (2016). The consequences of Brexit for UK trade and living standards (Vol. 2). London : Centre for Economic Performance, London Schooll of Economics and Political Science.
  • Fakhry, B. (2019). Did Brexit change the behaviour of the UK’s financial markets? In B. Fakhry, Behavioural Finance Reviews on EuroZone and Brexit (pp. 65-97). KSP Books.
  • FTSE Russell. (2019, November 19). FTSE UK Index Series. Retrieved from FTSE Russell: https://www.ftserussell.com/products/indices/uk
  • Kenourgios, D., Dadinakis, E., & Tsakalos, I. (2020). Brexit referendum and European stock markets: a sector analysis. Managerial Finance, 46(7), 913-933. doi:10.1108/MF-07-2019-0366
  • Kirchgässner, G., & Wolters, J. (2007). Introduction to Modern Time Series Analysis. Springer.
  • LINTNER, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37. doi:10.2307/1924119
  • MacKinlay, C. (1997, March). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13-39. doi:10.2307/2729691
  • Morillas, P. (2016, June). CIDOB. Retrieved from The Brexit Scenarios: towards a new UK-EU relationship: https://www.cidob.org/es/publicaciones/serie_de_publicacion/documents_cidob/the_brexit_scenarios_towards_a_new_uk_eu_relations hip
  • Nasir, M. A., & Morgan, J. (2018). Pre-Brexit The EU referendum as an illustration of the effects of uncertainty on the Sterling exchange rate. Journal of Economic Studies, 45(5), 910-921. doi:10.1108/JES-07-2017-0205
  • Oehler, A., Horn, M., & Wendt, S. (2017). Brexit: Short-term stock price effects and the impact of firm-level internationalization. Finance Research Letters, 22, 175-181. doi:10.1016/j.frl.2016.12.024
  • Shahzad, K., Rubbaniy, G., Lensvelt, M., & Bhatti, T. (2019). UK's stock market reaction to Brexit process: A tale of two halves. Economic Modelling, 80, 275-283. doi:10.1016/j.econmod.2018.11.013
  • SHARPE, W. F. (1964, September). CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK. The journal of FINANCE, 19(3), 425-442. doi:https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
  • Smales, L. A. (2016). “Brexit”: A Case Study in the Relationship Between Political and Financial Market Uncertainty. International Review of Finance, 17(3), 451-459. doi:10.1111/irfi.12100
Toplam 20 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans, İşletme
Bölüm Makaleler
Yazarlar

Esmerjan Lıcaj Bu kişi benim 0000-0002-4225-1874

Ayben Koy Bu kişi benim 0000-0002-2506-6634

Yayımlanma Tarihi 31 Aralık 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 14 Sayı: 1

Kaynak Göster

APA Lıcaj, E., & Koy, A. (2021). THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS. PressAcademia Procedia, 14(1), 108-109. https://doi.org/10.17261/Pressacademia.2021.1497
AMA Lıcaj E, Koy A. THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS. PAP. Aralık 2021;14(1):108-109. doi:10.17261/Pressacademia.2021.1497
Chicago Lıcaj, Esmerjan, ve Ayben Koy. “THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS”. PressAcademia Procedia 14, sy. 1 (Aralık 2021): 108-9. https://doi.org/10.17261/Pressacademia.2021.1497.
EndNote Lıcaj E, Koy A (01 Aralık 2021) THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS. PressAcademia Procedia 14 1 108–109.
IEEE E. Lıcaj ve A. Koy, “THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS”, PAP, c. 14, sy. 1, ss. 108–109, 2021, doi: 10.17261/Pressacademia.2021.1497.
ISNAD Lıcaj, Esmerjan - Koy, Ayben. “THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS”. PressAcademia Procedia 14/1 (Aralık 2021), 108-109. https://doi.org/10.17261/Pressacademia.2021.1497.
JAMA Lıcaj E, Koy A. THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS. PAP. 2021;14:108–109.
MLA Lıcaj, Esmerjan ve Ayben Koy. “THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS”. PressAcademia Procedia, c. 14, sy. 1, 2021, ss. 108-9, doi:10.17261/Pressacademia.2021.1497.
Vancouver Lıcaj E, Koy A. THE EFFECTS OF BREXIT ON THE UK CAPITAL MARKETS. PAP. 2021;14(1):108-9.

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