Performance of Exchange Traded Funds during the Brexit Referendum: An Event Study

Alkhatib, Akram; Harasheh, Murad

doi:10.3390/ijfs6030064

Cited by 20 publications

(9 citation statements)

References 14 publications

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“…In the event study methodology, there is no universal rule on the lengths of the event windows. Over the years, many articles used the event study methodology and changed the size of the event window according to the research needs [20][21][22][23][24][25].…”

Section: Methodsmentioning

confidence: 99%

The Symptoms of Illness: Does Israel Suffer from “Dutch Disease”?

2019

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The natural gas revolution in Israel started about two decades ago. Its numerous social impacts include moving to cleaner energy, improving energy security and the balance of trade, tightening international relations, and increasing tax revenue. However, “Dutch disease” phenomena—where the accelerated export of natural gas leads to the strengthening of the local currency, the subsequent weakening of other exporting industries, and rising unemployment—might suck Israel into the economic slowdown. This study examines whether the strengthening of the New Israeli Shekel (ILS) in recent years is a symptom of “Dutch disease”. It is expected that the large-scale export of natural gas will start in 2021 with the development of the major offshore field “Leviathan”. Notably, ILS has been appreciating for several years already. We employed the event study approach to analyze the fluctuations of the daily ILS/USD real exchange rate in the years 2009–2017, combined with the media announcements related to the gas discoveries published during this period. The results revealed that gas-related news does affect the exchange rate and appreciate ILS. GARCH analysis confirms the results.

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Section: Methodsmentioning

confidence: 99%

The Symptoms of Illness: Does Israel Suffer from “Dutch Disease”?

2019

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“…The Performance of exchange-traded funds during the Brexit has been analysed by Alkhatib and Harasheh (2018). The study shows that the world equity's ETFs significantly respond to the event by having a significant positive abnormal return K on the event date.…”

Section: State Of Research-event Studies In the Context Of Brexitmentioning

confidence: 99%

Impact of Brexit news on the stock prices of european insurance companies: an event study approach based on indexation and sub-indexation

Müller

Reuse

2022

ZVersWiss

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The Brexit referendum in June 2016 led to different publications analysing stock market reactions. This study addresses a research gap, regarding the consideration of other Brexit events and the focus on stock prices of European insurance companies, by using a further refined event study approach based on indexation and sub-indexation. In scope are 17 listed insurance companies based in the European Union or the United Kingdom represented by the Insurance Index. To analyse potential dependencies between abnormal returns and the location of the company (European Union or United Kingdom) or the share of insurance business written in the United Kingdom, the Insurance Index is divided into four sub-indices. The results show significant positive or negative abnormal returns of the Insurance Index. In addition, the sub-indices react differently to the events under consideration. Trends are suggesting that significant abnormal returns may depend on the location and the share of insurance business written in the United Kingdom.

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“…Authors modeled ARMA 3 models of the volatility indices with the inclusion of fractal integration in the observed processes and found that in the short run the Brexit vote had a significant impact on all series except the exchange rate to Yen. Alkhatib and Harasheh (2018) apply the ESM approach to the exchange traded funds (ETFs) on London Financial Centre with the event window of −10 to +10 days. The funds have been grouped into several clusters, depending upon the region the ETFs were investing the most (e.g., emerging markets).…”

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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Performance of Exchange Traded Funds during the Brexit Referendum: An Event Study

Cited by 20 publications

References 14 publications

The Symptoms of Illness: Does Israel Suffer from “Dutch Disease”?

The Symptoms of Illness: Does Israel Suffer from “Dutch Disease”?

Impact of Brexit news on the stock prices of european insurance companies: an event study approach based on indexation and sub-indexation

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

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