Too, Shi Xuan and Chng, Jia Ni and Sim, Jing Hui and Soo, Yi Yin and Tan, Qi Zhou (2020) Stock market reaction of selected EU countries to the Brexit. Final Year Project, UTAR.
Abstract
This paper will be focused on the impact of the Brexit on the stock return of the selected European Union (EU) countries which are Austria, Bulgaria, Finland, France, Ireland, Italy, Malta, Netherlands, Poland, Portugal, Romania, Slovenia as well as Spain. The Brexit referendum that happened on the 23rd of June 2016 is taken into account in this paper and the entire period was partitioned in two periods, before and after the Brexit referendum (Brexit factor). The stock market of the selected EU countries will be observed by the three main factors which are domestic factor, global factor and Brexit factor that we have classified. Time series data will be from January 2014 to November 2019 will be fitted into the regression equation by using various types of econometrics methodologies. Their relationships will be measured and examined by the models and calculations that are in the Autoregressive Conditional Heteroscedasticity (ARCH) family. The models are Generalized ARCH (GARCH) test and also the Exponential GARCH (EGARCH) test. According to the empirical results, the stock returns of selected EU countries have been influenced by the uncertainty that created by the Brexit. As a result, Brexit has hit the UK and also the other EU countries in both direct and indirect manners.
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