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Brexit: (Not) another Lehman moment for banks?

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  • Schiereck, D.
  • Kiesel, F.
  • Kolaric, S.

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.

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  • Schiereck, D. & Kiesel, F. & Kolaric, S., 2016. "Brexit: (Not) another Lehman moment for banks?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 82881, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Handle: RePEc:dar:wpaper:82881
    DOI: 10.1016/j.frl.2016.09.003
    Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/82881/
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    File URL: http://dx.doi.org/10.1016/j.frl.2016.09.003
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