Brexit: (Not) another Lehman moment for banks?

Dirk Schiereck; Florian Kiesel; Sascha Kolaric

doi:10.1016/j.frl.2016.09.003

Brexit: (Not) another Lehman moment for banks?

Dirk Schiereck^*, Florian Kiesel, Sascha Kolaric

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	291-297
Journal	Finance Research Letters
Volume	19
Early online date	5 Sept 2016
DOIs	https://doi.org/10.1016/j.frl.2016.09.003
Publication status	Published - Nov 2016

Keywords / Materials (for Non-textual outputs)

Brexit
Lehman Brothers bankruptcy
banks
credit default swap
stock markets

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10.1016/j.frl.2016.09.003

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title = "Brexit: (Not) another Lehman moment for banks?",

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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author = "Dirk Schiereck and Florian Kiesel and Sascha Kolaric",

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T2 - (Not) another Lehman moment for banks?

AU - Schiereck, Dirk

AU - Kiesel, Florian

AU - Kolaric, Sascha

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N2 - 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.

AB - 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.

KW - Brexit

KW - Lehman Brothers bankruptcy

KW - banks

KW - credit default swap

KW - stock markets

U2 - 10.1016/j.frl.2016.09.003

DO - 10.1016/j.frl.2016.09.003

M3 - Article

SN - 1544-6123

VL - 19

SP - 291

EP - 297

JO - Finance Research Letters

JF - Finance Research Letters

ER -

Brexit: (Not) another Lehman moment for banks?

Abstract

Keywords / Materials (for Non-textual outputs)

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