Empirical Analysis of the Impact of Brexit Referendum and Post-Referendum Events on Selected Stock Exchange Indexes

Kurečić, Petar; Kokotović, Filip

doi:10.2478/jeb-2018-0001

Cited by 11 publications

(6 citation statements)

References 14 publications

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“…In this work, both parametric and semi-parametric approaches are employed to analyze whether Brexit has had any major influence on the degree of determination of the FTSE (Financial Times Stock Exchange index). Another empirical analysis has been conducted in [63] to study the influence of Brexit's pre-and post-referendum effects on some chosen stock exchanges. This study concludes that a structural break appeared in every stock index, due to the results of the Brexit referendum.…”

Section: Impact Of Brexit On Stock Marketsmentioning

confidence: 99%

Analyzing the Stock Exchange Markets of EU Nations: A Case Study of Brexit Social Media Sentiment

Maqsood

Yasmin

et al. 2022

Systems

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Stock exchange analysis is regarded as a stochastic and demanding real-world setting in which fluctuations in stock prices are influenced by a wide range of aspects and events. In recent years, there has been a great deal of interest in social media-based data analytics for analyzing stock exchange markets. This is due to the fact that the sentiments around major global events like Brexit or COVID-19 significantly affect business decisions and investor perceptions, as well as transactional trading statistics and index values. Hence, in this research, we examined a case study from the Brexit event to assess the influence that feelings on the subject have had on the stock markets of European Union (EU) nations. Brexit has implications for Britain and other countries under the umbrella of the European Union (EU). However, a common point of debate is the EU’s contribution preferences and benefit imbalance. For this reason, the Brexit event and its impact on stock markets for major contributors and countries with minimum donations need to be evaluated accurately. As a result, to achieve accurate analysis of the stock exchanges of different EU nations from two different viewpoints, i.e., the major contributors and countries contributing least, in response to the Brexit event, we suggest an optimal deep learning and machine learning model that incorporates social media sentiment analysis regarding Brexit to perform stock market prediction. More precisely, the machine learning-based models include support vector machines (SVM) and linear regression (LR), while convolutional neural networks (CNNs) are used as a deep learning model. In addition, this method incorporates around 1.82 million tweets regarding the major contributors and countries contributing least to the EU budget. The findings show that sentiment analysis of Brexit events using a deep learning model delivers better results in comparison with machine learning models, in terms of root mean square values (RMSE). The outcomes of stock exchange analysis for the least contributing nations in relation to the Brexit event can aid them in making stock market judgments that will eventually benefit their country and improve their poor economies. Likewise, the results of stock exchange analysis for major contributing nations can assist in lowering the possibility of loss in relation to investments, as well as helping them to make effective decisions.

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Section: Impact Of Brexit On Stock Marketsmentioning

confidence: 99%

Analyzing the Stock Exchange Markets of EU Nations: A Case Study of Brexit Social Media Sentiment

Maqsood

Yasmin

et al. 2022

Systems

View full text Add to dashboard Cite

show abstract

“…In the first part, in terms of the stock market, Brexit made the stock market mess and affected its stability. Kurecic and Kokotovic (2018) examined the impact of British political turmoil in 2016 and 2017 on selected relevant stock indexes. The result indicates that the outcome of Brexit caused a structural break on the stock market, and the breakthrough could be seen in every researched stock index.…”

Section: Literature Reviewmentioning

confidence: 99%

Brexit: The Impact of the Fluctuation of Pound Exchange Rate on the Banking Performance and Profitability

Lu¹,

Lu²,

Lv³

2021

AJIBM

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The study investigated the relationship between exchange rate and bank performance or profitability after Brexit. The study uses three performance measures (including return on equity, return on assets, and the ratio of capital to deposit) as dependent variables and five various measures (government expenditure, GDP, inflation rate, and Dummy-Brexit) independent variables. The investigation is performed using data from two levels: one is for a sample of 34 banks in the United Kingdom from 2009 to 2018, another is for the whole country's bank performance. The result indicates a correlation between bank performance and exchange rate during the period of Brexit. However, due to the size and availability of the data, the finding remains to be discussed.

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“…In that way, possibilities to hedge against uncertainty risks regarding the Brexit vote could have been obtained. Kurecic and Kokotovic (2018) applied the unit break tests on 12 stock indices in USA, UK, Russia, China, South America, Hong Kong, Europe, and Japan (range: May 2016-July 2017). Several dates regarding political uncertainty are observed and included in testing for structural breaks in the stock index series, including the Brexit vote.…”

Section: Previous Related Researchmentioning

confidence: 99%

Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets

Škrinjarić

2019

IJFS

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The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern European (SEE) stock markets to the Brexit vote on 23 June 2016. Using daily data for the time span from January 2010 until July 2016 and the event study methodology (ESM), the return and volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned event. This is important for international investors and gives information on the reaction of mentioned markets to big political and economic events in order to tailor international portfolios in a way to hedge from risk.

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Empirical Analysis of the Impact of Brexit Referendum and Post-Referendum Events on Selected Stock Exchange Indexes

Cited by 11 publications

References 14 publications

Analyzing the Stock Exchange Markets of EU Nations: A Case Study of Brexit Social Media Sentiment

Analyzing the Stock Exchange Markets of EU Nations: A Case Study of Brexit Social Media Sentiment

Brexit: The Impact of the Fluctuation of Pound Exchange Rate on the Banking Performance and Profitability

Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets

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