The Heterogeneous Impact of Brexit: Early Indications from the FTSE

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Title: The Heterogeneous Impact of Brexit: Early Indications from the FTSE
Authors: Davies, Ronald B.
Studnicka, Zuzanna
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Date: May-2017
Abstract: The UK's decision to leave the EU is surrounded by several studies simulating its potential effects. Alternatively, we examine expectations embodied in stock returns using a two-part estimation process. While most firms' prices fell, there was considerable heterogeneity in their relative changes. We show that this heterogeneity can be explained by the firm's global value chain, with heavily European firms doing relatively worse. For firms with few imported intermediates, this was partially offset by a greater Sterling depreciation. These changes were primarily in the first two days and highly persistent. Understanding these movements gives a better understanding Brexit's potential effects.
Type of material: Working Paper
Publisher: University College Dublin. School of Economics
Keywords: Global value chaineEvent studyBrexit
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Economics Working Papers & Policy Papers

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