Brexit: (Not) another Lehman moment for banks?

D. Schiereck, F. Kiesel and S. Kolaric

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Abstract: We analyze the stock and CDS market reactions around the UK's EU membership referendum (“Brexit”) on June 23, 2016, and the Lehman Brothers bankruptcy filing on September 15, 2008. We find that the short-run drop in stock prices to the Brexit announcement was more pronounced than to Lehman's bankruptcy, particularly for EU banks. Additionally, for EU banks, a large increase in CDS spreads can be observed. Yet, compared to the Lehman bankruptcy filing, this increase is still relatively small. For non-EU banks, we observe neither significant stock nor CDS price reactions.

Date: 2016-11
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Published in Finance Research Letters (2016-11) : pp. 291-297

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http://dx.doi.org/10.1016/j.frl.2016.09.003

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Persistent link: https://EconPapers.repec.org/RePEc:dar:wpaper:82881

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