UK government considered the referendum as a one-way street (exit EU or not) after the changes in the political and economic status of Europe. The direct impact of such an event must be characterized as a shock, not only to the EU society, but on a worldwide level as well. In the aftermath of the approval vote to leave EU, nothing more than an uncertain environment has been left. This paper examines the effect of that political event in the economic world and more specific on asset prices of the 28 countries of Europe. Therefore, the purpose of this paper is to investigate the impact of such an event, in the stock market in terms of abnormal returns. The impact of Brexit in the world economy in the long run must considered as impossible to measure reliably, thus, a short-run event study is more suitable in this case. Methodology concerns the European Union the period of 260 days before the announcement of the referendum (24/06/2016) until 10 days after. From the results, we conduct some key comparisons and measurements (EU Less PIIGS, PIIGS, Non-Eurozone, Eurozone, EU Less UK) after we put in order the countries, according to the level of influence from the referendum and the end we examine other smaller economic unions. These national and international events are highly affect the stock markets, due to the rise of trade volume worldwide and react accordingly. During such political and economic uncertainty, there is a large amount of public and inside information exchanges, which is the perfect opportunity for testing the validity of the Efficient Market Hypothesis (EMH). As there are significant Abnormal Returns, it is easy to conclude that the stock prices don’t react quickly and efficiently to the new information or event without bias.
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