Back
 JFRM  Vol.5 No.4 , December 2016
Review of Stock Markets’ Reaction to New Events: Evidence from Brexit
Abstract: Several studies have evolved to deal with the determinants of stock market volatility. However, there exists a gap in literature with regards to the interrelation among the broad categories of factors that trigger stock market reaction namely company fundaments, technical factors and market sentiments. This paper provides a holistic and comprehensive theoretical review of drivers of stock markets’ reaction as well as designs an interrelated conceptual framework of the factors that influence investors’ decision making to fill the gap in literature. Brexit is presented as a case study to illustrate how investors and stock markets are affected by new events or information. This study will reveal some of the global staggering effects of Brexit at the end of trading on June 24, 2016 in areas such as currencies, stock markets, banks, commodities, bonds, automakers and homebuilders as well as hedge fund. Barely 24 hours after the results of Brexit were declared; global stock markets lost about $2 trillion in value. The British pound plunged to almost $1.33, its lowest level in over 30 years against the US dollar and gold proved to be one of the few safe havens for investors on that day. In order for investors to insulate themselves against loses from Black Swans events, the conclusion of this study recommends some protective mechanisms for investors which include avoidance of overexposure and stockpiling of cash.
Cite this paper: Quaye, I. , Mu, Y. , Abudu, B. and Agyare, R. (2016) Review of Stock Markets’ Reaction to New Events: Evidence from Brexit. Journal of Financial Risk Management, 5, 281-314. doi: 10.4236/jfrm.2016.54025.
References

[1]   Abreu, M. (2014). Individual Investors’ Behavioral Biases. Teaching Economics Working Paper No. TEWP 01/2014/DE/UECE.
https://www.repository.utl.pt/bitstream/10400.5/7439/1/TEWP012014.pdf

[2]   Adam, A. M., & Tweneboah, G. (2008). Macroeconomic Factors and Stock Market Movement: Evidence from Ghana. SSRN Electronic Journal, 1-26.
https://doi.org/10.2139/ssrn.1289842

[3]   Agrawal, G., Srivastav, A. K., & Srivastava, A. (2010). A Study of Exchange Rates Movement and Stock Market Volatility. International Journal of Business and Management, 5, 62-73.
https://doi.org/10.5539/ijbm.v5n12p62

[4]   Akami, K., & Slovic, P. (1994). A Psychological Study of the Inverse Relationship between Perceived risk and Perceived Benefit. Risk Analysis, 14, 1085-1096.
https://doi.org/10.1111/j.1539-6924.1994.tb00080.x

[5]   Allen, D. E., Mcaleer, M., & Singh, A. K. (2015). Daily Market News Sentiment and Stock Prices. ICAE Working Paper No. 1511.
http://eprints.sim.ucm.es/33044/1/1511.pdf

[6]   Al-Tamimia, H. A. H., Alwana, A. A., & Rahmana, A. A. A. (2011). Factors Affecting Stock Prices in the UAE Financial Markets. Journal of Transnational Management, 16, 3-19.
https://doi.org/10.1080/15475778.2011.549441

[7]   Angela-Maria, F., Maria, P. A., & Miruna, P. M. (2015). An Empirical Investigation of Herding Behavior in CEE Stock Markets under the Global Financial Crisis. Procedia Economics and Finance, 25, 354-361.
https://doi.org/10.1016/S2212-5671(15)00745-5

[8]   Antoniou, C., Galariotis, E. C., & Read, D. (2014). Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts. European Financial Management, 20, 633-651.
https://doi.org/10.1111/j.1468-036X.2012.00651.x

[9]   Atiq, M., Rafiq, M., & Roohullah. (2010). Factors Affecting Stock Prices: A Case Study of Karachi Stock Exchange (KSE). B&ER, 2, 7-12.
http://www.imsciences.edu.pk/files/journals/Vol.%202%20No.%201.%20April%202010/JB&ER-2.pdf

[10]   Aurangzeb (2012). Factors Affecting Performance of Stock Market: Evidence from South Asian Countries. International Journal of Academic Research in Business and Social Sciences, 2, 1-15.
http://www.hrmars.com/admin/pics/1086.pdf

[11]   Baimbridge, M. (2016). The Labour Case for Brexit: Economic Costs of Membership.
http://www.tuaeu.co.uk/wp-content/uploads/2016/06/The-Labour-Case-for-Brexit.pdf

[12]   Baker, H. K., Hargrove, M. B., & Haslem, J. A. (1977). An Empirical Analysis of the Risk Return Preferences of Individual Investors. Journal of Financial and Quantitative Analysis, 12, 377-389.
https://doi.org/10.2307/2330541

[13]   Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross-Section of Stock Returns. Journal of Finance, 61, 1645-1680.
https://doi.org/10.1111/j.1540-6261.2006.00885.x

[14]   Barber, B. M., & Odean, T. (1999). The Courage of Misguided Convictions. Financial Analysts Journal, 55, 41-55.
https://doi.org/10.2469/faj.v55.n6.2313

[15]   Barber, B. M., & Odean, T. (2000). Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. The Journal of Finance, 55, 773-806.
https://doi.org/10.1111/0022-1082.00226

[16]   Barber, B. M., & Odean, T. (2011). The Behavior of Individual Investors.
http://ssrn.com/abstract=1872211

[17]   Beaulieu, M. C., Cosset, J. C., & Essaddam, N. (2006). Political Uncertainty and Stock Market Returns: Evidence from the 1995 Quebec Referendum. Canadian Journal of Economic, 39, 621-642.
https://doi.org/10.1111/j.0008-4085.2006.00363.x

[18]   Benartzi, S. (2001). Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock. Journal of Finance, 56, 1747-1764.
https://doi.org/10.1111/0022-1082.00388

[19]   Benartzi, S., & Thaler, R. (1995). Myopic Loss-Aversion and the Equity Premium Puzzle. Quarterly Journal of Economics, 110, 73-92.
https://doi.org/10.2307/2118511

[20]   Bennet, E., Amoako, L. O., Charles, R. O., Edward, A., & Darkwah, J. A. (2012). The Impact of Investors’ Sentiment on the Equity Market: Evidence from Ghanaian Stock Market. International Journal of Business Administration, 3, 99-109.
https://doi.org/10.5430/ijba.v3n5p99

[21]   Blasco, N., Corredor, P., & Ferreruela, S. (2012). Does Herding Affect Volatility? Implications for the Spanish Stock Market. Quantitative Finance, 12, 311-327.
https://doi.org/10.1080/14697688.2010.516766

[22]   Brennan, K. (2013). A Stakeholder Analysis of the BP Oil Spill and the Compensation Mechanisms Used to Minimize Damage.
http://www.usf.edu/business/documents/undergraduate/honors/thesis-brennan-katelyn.pdf

[23]   Bu, X., & Tian, R. G. (2012). Quality Award and Market Performance: An Empirical Investigation about Chinese Stock Market. Journal of Applied Business and Economics, 13, 25-35.
http://www.na-businesspress.com/JABE/BuX_Web13_3_.pdf

[24]   Byrne, B. A., & Utkus, W. S. P. (2013). Understanding How the Mind Can Help or Hinder Investment Success. VAM-2013-05-08-0790.
https://www.vanguard.co.uk/documents/portal/literature/behavourial-finance-guide.pdf

[25]   Chan, K., Covrig, V., & Lilian, N. G. (2005). What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide. Journal of Finance, LX, 1495-1534.
https://doi.org/10.1111/j.1540-6261.2005.768_1.x

[26]   Chang, C. C., Yu, S., Reinstein, A., & Churyk, N. T. (2004). An Overview of Investor Sentiment in Stock Market.
http://www.wiu.edu/cbt/jcbi/documents/NAASFeb2016/SpecialNAASIssueFeb2016-InvestorSentiment.pdf

[27]   Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An Examination of Herd Behavior in Equity Markets: An International Perspective. Journal of Banking and Finance, 24, 1651-1679.
https://doi.org/10.1016/S0378-4266(99)00096-5

[28]   Chang, H.-L., Chen, Y.-S., Su, C.-W., & Ya-Wen, C. (2008). The Relationship between Stock Price and EPS: Evidence Based on Taiwan Panel Data. Economics Bulletin, 3, 1-12.
http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C30034A.pdf

[29]   Chen, A. H., & Siems, T. F. (2004). The Effects of Terrorism on Global Capital Markets. The European Journal of Political Economy, 20, 349-366.
https://doi.org/10.1016/j.ejpoleco.2003.12.005

[30]   Chew, S. H., Ebstein, R. P., & Zhong, S. (2012). Ambiguity Aversion and Familiarity Bias: Evidence from Behavioral and Gene Association Studies. Journal of Risk and Uncertainty, 44, 1-18.
https://doi.org/10.1007/s11166-011-9134-0

[31]   Chow, C. C., & Sarin, R. K. (2001). Comparative Ignorance and the Ellsberg Paradox. Journal of Risk and Uncertainty, 22, 129-139.
https://doi.org/10.1023/A:1011157509006

[32]   Collins, J. (1957). How to Study the Behavior of Bank Stocks. The Analysts Journal, 13, 109-113.
https://doi.org/10.2469/faj.v13.n2.109

[33]   Copeland, T. E., & Weston, J. F. A. (2005). Financial Theory and Corporate Policy (4th ed.). Boston, Mass: Pearson Addison-Wesley, Cop.

[34]   COSO (2010). Financial Fraud at U.S. Public Companies often Results in Bankruptcy or Failure, with Significant Immediate Losses for Shareholders and Penalties for.
http://coso.org/documents/COSOReleaseonFraudulentReporting2010PDF_001.pdf

[35]   Crumbaker, B. R. (2016). Brexit Offers a Golden Lesson for Investors.
http://www.washingtontimes.com/news/2016/jun/29/brexit-offers-a-golden-lesson-for-investors/

[36]   Dhingra, S., Huang, H., Ottaviano, G., Pessoa, J. P., Sampson, T., & Reenen, J. Van. (2016). The Costs and Benefits of Leaving the EU: Trade Effects.
http://cep.lse.ac.uk/pubs/download/brexit08_book.pdf

[37]   Dimmock, S. G., Kouwenberg, R., Mitchell, O. S., & Peijnenburg, K. (2013). Ambiguity Aversion and Household Porfolio Choice: Empirical Evidence. NBER Working Paper No. 18743.
http://www.nber.org/papers/w18743.pdf

[38]   Ding, H., Molchanov, A. E., & Stork, P. A. (2011). The Value of Celebrity Endorsements: A Stock Market Perspective. Marketing Letters, 22, 147-163.
https://doi.org/10.1007/s11002-010-9117-y

[39]   Doukas, J. A. (2013). Media Endorsements and Stock Returns: Evidence from Announcement of New Products.
http://etheses.dur.ac.uk/8458/

[40]   Dullien, S., Kotte, D. J., Márquez, A., & Priewe, J. (2010). The Financial and Economic Crisis of 2008-2009 and Developing Countries. UNCTAD/GDS/MDP/2010/1, United Nations Publication.
http://unctad.org/en/Docs/gdsmdp20101_en.pdf

[41]   Ehrhardt, M. C., & Brigham, E. F. (2014). Corporate Finance: A Focused Approach (5th ed.). USA: South-Western Cengage Learning.

[42]   Eichengreen, B., & Mody, A. (1998). What Explains Changing Spreads on Emerging Market Debt: Fundamentals or Market Sentiment? NBER Working Paper No. 6408.
http://www.nber.org/papers/w6408.pdf

[43]   Elan, L. S. (2010). Behavioral Patterns and Pitfalls of U. S. Investors. Federal Research Division, Library of Congress.
https://www.sec.gov/investor/locinvestorbehaviorreport.pdf

[44]   Ellsberg, D. (1961). Risk, Ambiguity, and the Savage Axioms. Quarterly Journal of Economics, 75, 643-669.
https://doi.org/10.2307/1884324

[45]   Fama, E., Fisher, L., Jensen, M., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10, 1-21.
https://doi.org/10.2307/2525569

[46]   Farayibi, A. O. (2015). The Impact of Risk on Investment Decision in Nigeria. Research Journal of Finance and Accounting, 6, 52-59.
http://www.iiste.org/Journals/index.php/RJFA/article/viewFile/27833/28536

[47]   Fischhoff, B., Slovic, P., Lichtenstein, S., Read, S., & Combs, B. (1978). How Safe Is Safe Enough? A Psychometric Study of Attitudes towards Technological Risks and Benefits. Policy Sciences, 9, 127-152.
https://doi.org/10.1007/BF00143739

[48]   Foad, H. (2010). Familiarity Bias.
https://doi.org/10.1002/9781118258415.ch15

[49]   Fox, C. R., & Tversky, A. (1995b). Ambiguity Aversion and Comparative Ignorance. The Quarterly Journal of Economics, 110, 585-603.
https://doi.org/10.2307/2946693

[50]   Full Fact Team (2016). The UK’s EU Membership Fee.
https://fullfact.org/europe/our-eu-membership-fee-55-million/

[51]   Ganzach, Y. (2000). Judging Risk and Return of Financial Assets. Organizational Behavior and Human Decision Processes, 83, 353-370.
https://doi.org/10.1006/obhd.2000.2914

[52]   Glushkov, D. (2006). Sentiment Beta.
https://doi.org/10.2139/ssrn.862444

[53]   Haritha, P., & Uchil, R. (2016). Conceptual Framework on Market Factors Affecting Investor’s Sentiments and the Effect of Behavioral Pitfalls on Investment Decision Making. IOSR Journal of Economics and Finance, 29-34.
http://www.iosrjournals.org/iosr-jef/papers/SIFICO/Version-1/5. 29-34.pdf

[54]   Harris, M., & Raviv, A. (1993). Differences of Opinion Make a Horse Race. Review of Financial Studies, 6, 473-506.
https://doi.org/10.1093/rfs/5.3.473

[55]   Hartono, J. (2004). The Recency Effect of Accounting Information. GadjahMada International Journal of Business, 6, 85-116.
http://jurnal.ugm.ac.id/gamaijb/article/view/5536

[56]   Hendricks, K. B., & Singhal, V. R. (2008). The Effect of Supply Chain Disruptions on Shareholder Value. Total Quality Management & Business Excellence, 19, 777-791.
https://doi.org/10.1080/14783360802159444

[57]   Hickson, K., & Miles, J. (2016). The Labour Case for Brexit.
http://www.tuaeu.co.uk/wp-content/uploads/2016/06/The-Labour-Case-for-Brexit.pdf

[58]   Hirshliefer, D. (2001). Investor Psychology and Asset Pricing. Journal of Finance, 56, 1533-1598.
https://doi.org/10.1111/0022-1082.00379

[59]   Huberman, G. (2001). Familiarity Breeds Investment. Review of Financial Studies, 14, 659-680.
https://doi.org/10.1093/rfs/14.3.659

[60]   Huiwen, Z., & Sun, L. (2012). The Influence of Investor Sentiment on Stock Return and Its Volatility under Different Market States (pp. 337-341). Fifth International Conference of Business Intelligence and Financial Engineering (BIFE), Lanzhou, 18-21 August 2012.

[61]   Hung, A., Heinberg, A., & Yoong, J. (2010). Do Risk Disclosures Affect Investment Choice? RAND Labor and Population Working Paper No. WR-788.
https://www.rand.org/content/dam/rand/pubs/working_papers/2010/RAND_WR788.pdf

[62]   Ibrahim, M., & Aziz, M. (2003). Macroeconomic Variables and the Malaysian Equity Market: A Rolling through Subsamples. Journal of Economic Studies, 30, 6-27.
https://doi.org/10.1108/01443580310455241

[63]   Ishfaq, M., & Anjum, N. (2015). Effect of Anchoring Bias on Risky Investment Decision. Evidence from Pakistan Equity Market. Journal of Poverty, Investment and Development, 14, 1-9.
http://www.iiste.org/Journals/index.php/JPID/article/view/24508/25083

[64]   Jagongo, A., & Mutswenje, V. S. (2014). A Survey of the Factors Influencing Investment Decisions: The Case of Individual Investors at the NSE. International Journal of Humanities and Social Science, 4, 92-102.
http://www.ijhssnet.com/journals/Vol_4_No_4_Special_Issue_February_2014/11.pdf

[65]   Johnson, M., Agnew, H., & Childs, M. (2016). Hedge Funds Win Big from Brexit Bets.
https://next.ft.com/content/c02fe256-3aaf-11e6-8716-a4a71e8140b0#axzz4CaN72vu0

[66]   Johnston, R. B., & Nedelescu, O. M. (2005). The Impact of Terrorism on Financial Markets. IMF Working Paper No. WP/05/60.
http://www.imf.org/external/pubs/ft/wp/2005/wp0560.pdf

[67]   Jones, E., & Danbolt, J. (2005). Empirical Evidence on the Determinants of the Stock Market Reaction to Product and Market Diversification Announcements. Applied Financial Economics, 18, 617-627.
https://doi.org/10.1080/09603100500065461

[68]   Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47, 263-292.
https://doi.org/10.2307/1914185

[69]   Keller, L. R., Sarin, R. K., & Sounderpandian, J. (2007). An Examination of Ambiguity Aversion: Are Two Heads Better Than One? Judgment and Decision Making, 2, 390-397.
http://journal.sjdm.org/jdm7619.pdf

[70]   Khan, K. I., Aamir, M., Qayyum, A., Nasir, A., & Khan, M. I. (2011). Can Dividend Decisions Affect the Stock Prices: A Case of Dividend Paying Companies of KSE. International Research Journal of Finance and Economics, 76, 67-74.
http://www.internationalresearchjournaloffinanceandeconomics.com/ISSUES/IRJFE_Issue_76.htm

[71]   Khan, S. H. (2009). Determinants of Share Price Movements in Bangladesh: Dividends and Retained Earnings. Karlskrona: Blekinge Institute of Technology.
http://www.diva-portal.org/smash/get/diva2:832110/FULLTEXT01.pdf

[72]   Kottasova, I., & Petroff, A. (2016). This Is Brexit: London and European Stocks Get Crushed.
http://money.cnn.com/2016/06/24/investing/brexit-london-stocks-crashing/

[73]   Krishnan, K. M., & Satish, R. (2016). Investors Sentiments to Mergers Announement & Stock Market Reaction. International Journal of Applied Engineering Research, 11, 1266-1272.
http://www.ripublication.com/ijaer16/ijaerv11n2_93.pdf

[74]   Kurihara, Y. (2006). The Relationship between Exchange Rate and Stock Prices during the Quantitative Easing Policy in Japan. International Journal of Business, 11, 375-386.
http://www.craig.csufresno.edu/ijb/Volumes/Volume%2011/V114-3.pdf

[75]   Lash, H., & Krudy, E. (2016). World Stocks Tumble as Britain Votes for EU Exit.
http://www.reuters.com/article/us-global-markets-idUSKCN0Z92MZ

[76]   Lee, C. M. C., Shleifer, A., & Thaler, R. H. (1991). Investor Sentiment and the Closed-End Fund Puzzle. The Journal of Finance, 46, 75-109.
https://doi.org/10.1111/j.1540-6261.1991.tb03746.x

[77]   Lee, R. P., Chen, Q., & Hartmann, N. N. (2015). Enhancing Stock Market Return with New Product Preannouncements: The Role of Information Quality and Innovativeness. Journal of Product Innovation Management, 33, 455-471.

[78]   Liang, C. (2013). The Impact of Merger and Acquisition Announcements on Firms’ Stock Performance: Evidence from Hong Kong Stock Market.
http://library2.smu.ca/xmlui/handle/01/24964

[79]   Ling, D. C., Naranjo, A., & Scheick, B. (2014). Investor Sentiment, Limits to Arbitrage and Private Market Returns. Real Estate Economics, 42, 531-577.
https://doi.org/10.1111/1540-6229.12037

[80]   Liu, M. H., & Shrestha, K. M. (2008). Analysis of the Long-Term Relationship between Macroeconomic Variables and the Chinese Stock Market Using Heteroskedasticity Cointegration. Managerial Finance, 34, 744-755.
https://doi.org/10.1108/03074350810900479

[81]   Lokko, V. K. (2016). Cedi Falls against Pound as UK Exits EU.
http://citifmonline.com/2016/06/24/cedi-falls-against-pound-as-uk-votes-to-exit-eu/

[82]   Lott, J., & Karpoff, J. M. (1998). Punitive Damages: Their Determinants, Effects on Firm Value, and the Impact of Supreme Court and Congressional Attempts to Limit Awards (No. 58).
http://chicagounbound.uchicago.edu/cgi/viewcontent.cgi?article=1399&context=law_and_economics

[83]   Luo, N. (2012). The Impact of Natural Disasters on Global Stock Market: the Case of the Japanese 2011 Earthquake. Halifax: Saint Mary’s University.
http://library2.smu.ca/xmlui/bitstream/handle/01/24714/luo_nannan_mrp_2012.pdf;sequence=1

[84]   Mackenzie, M., & Platt, E. (2016). How Global Markets Are Reacting to UK’s Brexit Vote.
http://www.ft.com/cms/s/2/50436fde-39bb-11e6-9a05-82a9b15a8ee7.html#axzz4CXgCQomh

[85]   Maierhofer, S. (2011). 5 Worst Disasters—How Did the Stock Market React?
http://www.nasdaq.com/article/5-worst-disasters-how-did-the-stock-market-react-cm68124

[86]   Malkiel, B. (2003). The Efficient Market Hypothesis and Its Critics. The Journal of Economic Perspectives, 17, 59-82.
https://doi.org/10.1257/089533003321164958

[87]   Maranjian, S. (2013). What Is Risk and Return?
http://www.aol.com/article/2013/04/24/what-is-risk-and-return/20546858/

[88]   Maria, S. D. S. (2013). Improving Influence Operations by Defining Influence and Influence Operations.
http://www.dtic.mil/get-tr-doc/pdf?AD=ADA606282

[89]   Markowitz, H. (1952). Portfolio Section. Journal of Finance, 7, 77-91.
https://www.math.ust.hk/~maykwok/courses/ma362/07F/markowitz_JF.pdf

[90]   Martin, D., & Joomis, K. (2007). Building Teachers: A Constructivist Approach to Introducing Education. Belmont, CA: Wadsworth Cangage Learning.
http://www.cengage.com/resource_uploads/downloads/0495570540_162121.pdf

[91]   Matheson, T. (2011). Taxing Financial Transactions: Issues and Evidence. IMF Working Paper No. WP/11/54.
https://doi.org/10.5089/9781455220984.001

[92]   McKibbin, W., & Stoeckel, A. (2009). The Global Financial Crisis: Causes and Consequences. Working Paper of International Economics No. 2.09.
http://www.lowyinstitute.org/files/pubfiles/McKibbin_and_Stoeckel,_The_global_financial_crisis.pdf

[93]   Merikas, A., Merikas, A., Vozikis, G. S., & Prasad, D. (2011). Economic Factors and Individual Investor Behavior: The Case of the Greek Stock Exchange. Journal of Applied Business Research, 20, 93-98.
https://doi.org/10.19030/jabr.v20i4.2227

[94]   Miles, J. (2016). The Labour Case for Brexit: Managing Immigration.
http://www.tuaeu.co.uk/wp-content/uploads/2016/06/The-Labour-Case-for-Brexit.pdf

[95]   Mitchell, O., & Utkus, S. (2002). Company Stock and Retirement Plan Diversification. Pension Research Council Working Paper No. 2002-4.
https://doi.org/10.2139/ssrn.304461

[96]   Morris, N. (2013). Former Chancellor Nigel Lawson Calls for UK to Leave European Union.
http://campbellmgold.com/archive_blowing_in_the_wind/lawson_uk_to_leave_eu_may_2013.pdf

[97]   Muelbroek, L. (2002). Company Stock in Pension Plans: How Costly Is It? Harvard Business School Working Paper No. 02-058.
http://www.hbs.edu/faculty/Publication%20Files/02-058_7e51c79e-3ad6-4b75-96bf-d7d7336e1ce9.pdf

[98]   Mullen, J., Kottasova, I., & Gillespie, P. (2016). Dow Plunges over 600 Points as U.K. “Earthquake” Crushes Global Markets.
http://money.cnn.com/2016/06/23/investing/eu-referendum-markets/index.html?iid=EL

[99]   Neal, R., & Wheatley, S. M. (1998). Do measures of Investor Sentiment Predict Returns? Journal of Financial and Quantitative Analysis, 33, 523-547.
http://www.jstor.org/stable/2331130

[100]   Neuhierl, A., Scherbina, A., & Schlusche, B. (2013). Market Reaction to Corporate Press Releases. Journal of Financial & Quantitative Analysis, 48, 1207-1240.
https://doi.org/10.1017/S002210901300046X

[101]   Njanike, K., Katsuro, P., & Mudzura, M. (2009). Factors Influencing the Zimbabwe Stock Exchange Performance (2002-2007). Annals of the University of Petrosani, Economics, 9, 161-172.
http://upet.ro/annals/economics/pdf/2009/20090221.pdf

[102]   Norgren, C. (2010). The Causes of the Global Financial Crisis and Their Implications for Supreme Audit Institutions.
http://www.intosai.org/uploads/gaohq4709242v1finalsubgroup1paper.pdf

[103]   Odean, T. (1998). Volume, Volatility, Price and Profit When All Traders Are Above Average. Journal of Finance, 53, 1887-1934.
https://doi.org/10.1111/0022-1082.00078

[104]   Peirson, G., Brown, R., Easton, S., Howard, P., & Pinder, S. (2009). Business Finance (10th ed.). Australia: McGraw-Hill.

[105]   Raiffa, H. (1961). Risk, Ambiguity, and the Savage Axioms: Comment. Quarterly Journal of Economics, 75, 690-694.
https://doi.org/10.2307/1884326

[106]   Reenen, J. Van. (2016). BREXIT 2016: Policy Analysis from the Centre for Economic Performance.
http://cep.lse.ac.uk/pubs/download/brexit08_book.pdf

[107]   Rehman, M. U. (2013). Investor’s Sentiments and Stock Market Volatility: An Empirical Evidence from Emerging Stock Market. Pakistan Journal of Commerce and Social Sciences, 7, 80-90.
http://jespk.net/publications/108.pdf

[108]   Rezagholizadeh, M., Lin, C.-Y. C., Yavari, K., & Sahabi, B. (2013). The Conditional Relationship between Risk and Return in Iran’s Stock Market.
http://www.des.ucdavis.edu/faculty/Lin/Iran_risk_return_paper.pdf

[109]   Rigobon, R., & Sack, B. (2003). Measuring the Reaction of Monetary Policy to the Stock Market. Quarterly Journal of Economics, 118, 639-669.
https://doi.org/10.1162/003355303321675473

[110]   Riley, C., & Long, H. (2016a). Biggest Losers: “Brexit” Is Already Hitting These Companies.
http://money.cnn.com/2016/06/24/investing/brexit-uk-companies/index.html?iid=hp-toplead-dom

[111]   Riley, C., & Long, H. (2016b). Brexit Shock Vote: What You Need to Know.
http://money.cnn.com/2016/06/24/news/economy/brexit-uk-european-union-vote/index.html?iid=EL

[112]   Rudd, K. (2009). The Global Financial Crisis.
http://themonthly.com.au/monthly-essays-kevin-rudd-global-financial-crisis—1421

[113]   Russell, K., & Lee, C. J. (2016). Fallout from Britain’s Exit: Markets, Immigration and Trade.
http://www.nytimes.com/interactive/2016/06/23/international-home/brexit-leave-repercussions.html

[114]   Sarin, R. K., & Weber, M. (1993). Effects of Ambiguity in Market Experiments. Management Science, 39, 602-615.
https://doi.org/10.1287/mnsc.39.5.602

[115]   Schweitzer, R. (1989). How Do Stock Returns React to Special Events?
http://www.phil.frb.org/research-and-data/publications/business-review/1989/brja89rs.pdf

[116]   Securities and Exchange Commission (2014). How Fees and Expenses Affect Your Investment Portfolio, SEC Investor Bulletin.
http://www.concordadvisory.com/node/192

[117]   Seiler, M. J., Seiler, V. L., Traub, S., & Harrison, D. M. (2007). Familiarity Bias and the Status Quo Alternative.
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.320.9840&rep=rep1&type=pdf

[118]   Seyhun, N. (1998). Investment Intelligence from Insider Trading. Cambridge: MIT Press.
https://mitpress.mit.edu/books/investment-intelligence-insider-trading

[119]   Shalom-gilo, R. (2013). Effects of Level of Investors’ Confidence and Herding Behavior on Stock Prices and Their Volatilities.
http://coller.tau.ac.il/sites/nihul.tau.ac.il/files/media_server/Recanati/management/seminars/account/Effects.pdf

[120]   Shapira, Y., Berman, Y., & Ben-Jacob, E. (2014). Modelling the Short Term Herding Behaviour of Stock Markets. New Journal of Physics, 16, 1-16.
https://doi.org/10.1088/1367-2630/16/5/053040

[121]   Sharif, T., Purohit, H., & Pillai, R. (2015). Analysis of Factors Affecting Share Prices: The Case of Bahrain Stock Exchange. International Journal of Economics and Finance, 7, 207-216.
https://doi.org/10.5539/ijef.v7n3p207

[122]   Sheldon, E. (2016). 4 Vital Investing Lessons from the Brexit Result. from
https://uk.finance.yahoo.com/news/4-vital-investing-lessons-brexit-101442884.html

[123]   Shrestha, P. K., & Biggyan, R. S. (2014). Determinants of Stock Market Performance in Nepal (No. NRB-WP-24).
http://www.nrb.org.np/ecorev/pdffiles/vol26-2_art2.pdf

[124]   Smales, L. A. (2013). Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia. Journal of Financial Research, 36, 371-388.
https://doi.org/10.1111/j.1475-6803.2013.12015.x

[125]   Somoye, R., Akintoye, I., & Oseni, J. (2009). Determinants of Equity Prices in the Stock Markets. International Research Journal of Finance and Economics, 30, 177-189.
http://connection.ebscohost.com/c/articles/43972866/determinants-equity-prices-stock-markets

[126]   Strong, N., & Xu, X. (2003). Understanding the Equity Home Bias: Evidence from Survey Data. Review of Economics and Statistics, 85, 307-312.
https://doi.org/10.1162/003465303765299837

[127]   Subaih, O. (2013). The Effect of Stock Split Announcements on Stock Prices: an Empirical Investigation for the Toronto Stock Exchange (TSX).
http://library2.smu.ca/bitstream/handle/01/24835/subaih_omer_mrp_2013.pdf?sequence=1

[128]   Swedroe, L. (2013). The Impact of News Events on Market Prices.
http://www.cbsnews.com/news/the-impact-of-news-events-on-market-prices/

[129]   Tanner, L. (2015). Understand Your Familiarity Bias to Be a Better Investor.
https://www.nerdwallet.com/blog/investing/understand-familiarity-bias-investor/

[130]   The Guardian (2016). Brexit Panic Wipes $2 Trillion off World Markets—As It Happened.
https://www.theguardian.com/business/live/2016/jun/24/global-markets-ftse-pound-uk-leave-eu-brexit-live-updates

[131]   Thorp, W. A. (2004). Investor Sentiment as a Contrarian Indicator.
http://www.aaii.com/journal/sentimentsurveyarticle

[132]   Trautmann, S. T., Vieider, F. M., & Wakker, P. P. (2008). Causes of Ambiguity Aversion: Known versus Unknown Preferences. Journal of Risk and Uncertainty, 36, 225-243.
https://doi.org/10.1007/s11166-008-9038-9

[133]   Tse, A. (2010). BP Oil Spill Driving BP Stock Down.
https://www.thestreet.com/story/10742947/1/bp-oil-spill-driving-bp-stock-down.html

[134]   Varian, H. R. (1989). Differences of Opinion in Financial Markets. In C. S. Courtenay (Ed.), Financial Risk: Theory, Evidence and Implications (pp. 3-37). Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis, Boston, MA. Boston, MA: Kluwer Academic.

[135]   Vega, C. (2006). Stock Price Reaction to Public and Private Information. Journal of Financial Economics, 82, 103-133.
https://doi.org/10.1016/j.jfineco.2005.07.011

[136]   Verma, N. (2016). Impact of Behavioral Biases in Investment Decision and Strategies. Journal of Management Research and Analysis, 3, 28-30.
https://doi.org/10.5958/2394-2770.2016.00004.1

[137]   Vincent, O., & Bamiro, K. (2013). Fluctuations in Stock Market Prices: What Went Wrong, Its Implications to Nigerian Economy? International Journal of Computer Applications, 63, 13-20.
http://research.ijcaonline.org/volume63/number19/pxc3885612.pdf

[138]   Wadsworth, J., Dhingra, S., Ottaviano, G., & Reenen, J. Van. (2016). Brexit and the Impact of Immigration on the UK.
http://cep.lse.ac.uk/pubs/download/brexit08_book.pdf

[139]   Walker, T. J., Pukthuanthong, K., & Barabanov, S. S. (2006). On the Stock Market’s Reaction to Major Railroad Accidents. Journal of the Transportation Research Forum, 45, 23-39.
http://journals.oregondigital.org/index.php/trforum/article/view/871/766

[140]   Wang, Y. M., Li, C. A., & Lin, C. F. (2009). The Impact of Investor Sentiment on the Futures Market: Evidence from the Taiwan Futures Exchange. International Research Journal of Finance and Economics, 29, 134-151.
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.322.7639&rep=rep1&type=pdf

[141]   Wasik, J. F. (2013). The Erosive Effect of Expenses on a Portfolio’s Value.
http://www.nytimes.com/2013/10/16/your-money/the-erosive-effect-of-expenses-on-a-portfolios-value.html?_r=0

[142]   Webber, D. (2016). The Road to Brexit and What It Would Mean.
http://knowledge.insead.edu/node/4546/pdf

[143]   Woolridge, J. R., & Snow, C. C. (1990). Stock Market Reaction to Strategic Investment Decisions. Strategic Management Journal, 11, 353-363.
https://doi.org/10.1002/smj.4250110503

[144]   Wu, S. J., & Lee, W. M. (2015). Predicting Severe Simultaneous Bear Stock Markets Using Macroeconomic Variables as Leading Indicators. Finance Research Letters, 13, 196-204.
https://doi.org/10.1016/j.frl.2015.01.003

[145]   Yan, S. (2016). Global Banks Hammered by U.K. Vote.
http://money.cnn.com/2016/06/24/investing/brexit-bank-impact/index.html

[146]   Zacks, L. (1979). EPS Forecasts: Accuracy Is Not Enough. Financial Analysts Journal, 35, 53-55.
https://doi.org/10.2469/faj.v35.n2.53

[147]   Zaharyeva, I. (2009). Herding toward the Market: Evidence from the Stock Market of Ukraine. Kyiv School of Economics.
http://www.kse.org.ua/uploads/file/ZAHAREVA.pdf

[148]   Zheng, Y. (2015). The Linkage between Aggregate Investor Sentiment and Metal Futures Returns: A Nonlinear Approach. The Quarterly Review of Economics and Finance, 58, 128-142.
https://doi.org/10.1016/j.qref.2015.02.008

 
 
Top