Brexit: (Not) another Lehman moment for banks?

Dirk Schiereck, Florian Kiesel and Sascha Kolaric

Finance Research Letters, 2016, vol. 19, issue C, 291-297

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.

Keywords: Brexit; Lehman Brothers bankruptcy; Banks; Credit default swap; Stock markets (search for similar items in EconPapers)
JEL-codes: G14 G15 G21 H77 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:291-297

DOI: 10.1016/j.frl.2016.09.003

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