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

Author

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  • Kim, Jang-Chul
  • Mazumder, Sharif
  • Su, Qing

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.

Suggested Citation

  • Kim, Jang-Chul & Mazumder, Sharif & Su, Qing, 2024. "Brexit's ripple: Probing the impact on stock market liquidity," Finance Research Letters, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000606
    DOI: 10.1016/j.frl.2024.105030
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    References listed on IDEAS

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    Cited by:

    1. Su, Chi-Wei & Yang, Shengyao & Ren, Yi-Shuai, 2024. "Economic policy uncertainty and company stock prices: Empirical evidence from blockchain companies," Finance Research Letters, Elsevier, vol. 65(C).

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    More about this item

    Keywords

    Market liquidity; Bid-ask spreads; Information-based trading; Brexit;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F6 - International Economics - - Economic Impacts of Globalization
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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