The Influence of Extreme events such as Brexit and Covid-19 on Equity Markets
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The Influence of Extreme events such as Brexit and Covid-19 on Equity MarketsAutor(es)
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2022Cita bibliográfica
Iglesias, E. M. 2022. “The influence of extreme events such as Brexit and Covid-19 on equity markets.” Journal of Policy Modeling 44: 418–430. https://doi.org/10.1016/j.jpolmod.2021.10.005.
Resumo
[Abstract]: In this article first, we show that the result that the PIIGS group had the largest negative unadjusted andabnormal returns on the day following the Brexit Referendum is robust to taking into account jointly otherextreme events such as the Covid-19. Second, we provide evidence that the impact of the declaration ofCovid-19 to be a global pandemic by the WHO – when global markets fell by nearly 15% – had a totaldifferent reaction in the financial markets to the one following the Brexit Referendum, impacting morenegatively in countries where quarantine lockdowns were announced that day (i.e. Austria, Belgium, Brazil,Canada, Italy and Spain), independently on their debt-to GDP ratio. We also show that the day after Covid-19was declared as a global pandemic, China and Japan (countries that already implemented lockdowns in theprevious months) were the only analyzed countries that did not experience any evidence of abnormal returnsin their financial markets. Moreover, during the three following days, the US was the only analyzed countryshowing no evidence of negative abnormal returns due to the declaration of the national emergency. Theseresults suggest that government policies must take into account and monitor specially health-related newsat global level, since they can have enormous impacts on portfolio allocations on stock markets, in order totake more informed decisions.
Palabras chave
Extreme events
Brexit Referendum
Covid-19
Financial markets
Acontecementos extremos
Referendo sobre o Brexit
Mercados financeiros
Brexit Referendum
Covid-19
Financial markets
Acontecementos extremos
Referendo sobre o Brexit
Mercados financeiros
Versión do editor
ISSN
0161-8938