Brexit's ripple: Probing the impact on stock market liquidity

Jang-Chul Kim, Sharif Mazumder and Qing Su

Finance Research Letters, 2024, vol. 61, issue C

Abstract: This paper examines the Brexit announcement's impact on market liquidity, highlighting its significant effect on UK and EU stocks listed on the NYSE. Regression results indicate that Brexit amplified uncertainty, leading to reduced liquidity, with UK stocks taking two days to recover compared to one day for EU stocks. This indicates greater investor uncertainty for UK stocks. Additionally, our study reveals that Brexit's impact extends globally, affecting US and non-US stocks, with US stocks being susceptible to close UK ties. These findings underscore Brexit's extensive influence on international financial markets.

Keywords: Market liquidity; Bid-ask spreads; Information-based trading; Brexit (search for similar items in EconPapers)
JEL-codes: F3 F6 G10 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000606

DOI: 10.1016/j.frl.2024.105030

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