The Brexit Announcement: A Test of Market Efficiency.

Document Type

Article

Publication Date

Fall 2019

Abstract

This study tests the market efficiency theory by examining the effect of the Brexit announcement on a sample stock firms and the market as a whole. The analysis examines 10 firms traded on the New York Stock Exchange and also heavily linked with markets in the UK and European Union. The purpose of this study was to test market efficiency around the Brexit vote, which affected many different global markets, influenced these 10 companies in the NYSE market. Results of this analysis show risk adjusted stock price returns for the sample of companies declined approximately 21 days prior to the vote date and continued dropping after the vote result was announced. This suggests that the market reacted to the Brexit announcement according to the semi-strong form market efficiency theory.

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