Koy, AybenLıcaj, Esmerjan2022-11-012022-11-012021https://katalog.ticaret.edu.tr/e-kaynak/tez/89549.pdfhttps://hdl.handle.net/11467/5686Tez (Yüksek Lisans) -- İstanbul Ticaret Üniversitesi -- Kaynakça var.ÖZET Bu çalışma, BREXIT referandumunun Birleşik Krallık Sermaye Piyasaları üzerindeki sonuçlarını belirlemeye çalışmaktadır. Bu konuda şimdiye kadar yapılmış mevcut çalışmaları ve piyasadaki sürekli değişimler hakkında finansal literatürü gözden geçirerek, geçiş döneminde İngiliz Vatandaşlarının Avrupa Birliği'nden ayrılma kararının sermaye piyasası üzerindeki etkilerini analiz etmeye çalışacağız. Böyle hassas bir durum karşısında İngiltere politika belirsizliğini ve BREXIT'e ilişkin bu belirsizliğin sonuçlarını finansal piyasalarda oluşan oynaklıklarla etkileşim içinde BREXIT öncesi ve sonrası dönemleri dikkate alarak veri setlerini analiz ederek tahmin etmeye çalışacağız. Menkul Kıymetler Borsası'nın düzey ve değerlerindeki değişiklikleri ölçmek etmek için finansal kuruluşlar tarafından yayınlanan istatistiklere dayanmaktadır. Ana odak noktamız, beklenmedik ve devam eden yeni olayların bir sonucu olarak volatiliteyi ve piyasa değişikliklerini analiz etmektir. Bu nedenle, Anormal Getirilerin değerlerini ve ülkedeki siyasi durum ve politika belirsizliklerinden elde edilen ilgili istatistiksel bilgileri inceleyeceğiz. Volatiliteyi ölçmek için GARCH modeli kullanılarak FTSE100'ün seçilen ilk 10 bileşeninin ortalama anormal getiri portföyü için 30 olay penceresi ile bir olay çalışması uygulanmıştır. Genel olarak inceleme dönemimiz boyunca Brexit'in piyasa üzerinde olumsuz sonuçlar yarattığı tespit edilmiştir. Anahtar Kelimeler: Brexit, Anormal Getiriler, Volatilite, GARCH, FTSE 100, Olay Çalışması TABLE OF CONTENTS Page Number ABSTRACT. İİ ÖZET . İİİ ACKNOWLEDGEMENTS. İV TABLE OF CONTENTS. V LIST OF TABLES . Vİİ LIST OF FIGURES. İX LIST OFABBREVIATIONS. X INTRODUCTION . 1 1. 1. Background of the Subject . 1 1. 1. 1. The Purpose of This Study. 2 1. 1. 2 Limitations of This Study. 2 CHAPTER ONE . 3 BREXIT. 3 1. 2. Risk Of Losing Access To The EU Single Market In The Post – Brexit. 3 1. 3. What Is Exactly The EU Single Market And Why It Is So Important?. 3 1. 4. Can The Crisis Be Converted Into An Opportunity? . 4 1. 5. Consequences Of Policy Uncertainty On The UK Financial Market Fluctuations . 4 1. 6. What Is Financial Passporting And Why Is It Important? . 7 1. 7. What Happens If The United Kingdom Gets Deprived Of Passport Right?. 7 1. 8. What Is The Capital Market Union? . 9 1. 9. Possible Scenarios For The UK To Maintain Part Of European Market . 12 1. 9. 1. Norwegian Model . 13 1. 9. 2. Model Of Switzerland . 14 1. 9. 3 World Trade Organization Option. 15 1. 10. Timeline of Brexiting Process: Negotiations & Main Events . 16 CHAPTER TWO . 23 STOCK MARKET BEHAVIOUR AND MARKET EFFICIENCY . 23 2. 1. Stock Market Behaviour and Market Efficiency . 23 2. 2. Price Anomalies. 26 2. 2. 1 Overreaction . 27 2. 2. 2 Underreaction. 29 2. 3. Previous Studies On Brexit . 30 CHAPTER THREE. 34 METHODOLOGY . 34 3. 1 Data. 34 3. 2 Sample Period . 35 3. 3. Hypothesis. 36 3. 4. Event Study . 37 3. 5. Descriptive Statistics . 47 CHAPTER FOUR. 51 EMPIRICAL ANALYSIS . 51 4. 1. Estimation of Average Abnormal Returns. 51 4. 2. Defining the Event Study Timeline . 52 4. 3 Volatility Models. 53 4. 3. 1. The Autoregressive Conditional Heteroskedasticity (ARCH). 53 4. 3. 2 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Model. 55 4. 4 Empirical Results. 55 4. 4. 1 GARCH Results For 30 Event Windows (-5; +5) with Dummy Variables. 57 vi CONCLUSIONS . 83 APPENDICES . 86 REFERENCES . 92 vii LIST OF TABLES Table 1. List of Top 10 FTSE 100 Constituent Companies. 35 Table 2. Coefficients of the regression model of stock i return value on the market FTSE 100 . 38 Table 3. Descriptive Statistics for Abnormal Returns of 10 selected companies in FTSE100 . 48 Table 4. Determining the Appropriate Lag Value . 56 Table 5 : The Results of ARCH LM Test. 56 Table 6: GARCH(1, 1) Model (January 2016 - December 2019) . 57 Table 7: GARCH Results For Event Day 1 - Referendum Day - 23 June 2016 . 58 Table 8: GARCH Results for Event Day 2 - Brexit speech by Prime Minister Theresa May presenting the negotiations' plan - 2 October 2016 . 59 Table 9: GARCH Results for Event Day 3 - Referral of a case challenging the legality of Brexit to the Supreme Court - 3 November 2016. 60 Table 10: GARCH Results for Event Day 4 - The Prime Minister introduces the Brexit Governmental Framework where all scenarios are included. - 17 January 2017 . 60 Table 11: GARCH Results for Event Day 5 - Government publishes European Union (Notification of Withdrawal) Bill- 26 January 2017 . 61 Table 12: GARCH Results for Event Day 6 - Government announces the strategy to leave the EU on Brexit White Paper - 2 February 2017 . 62 Table 13: GARCH Results for Event Day 7 - Government triggers the Article 50, commencing the two year negotiation period before Brexit - 29 March 2017. 63 Table 14: GARCH Results for Event Day 8 - Prime Minister announces the date of New General Elections - 18 April 2017. 64 Table 15: GARCH Results for Event Day 9 - General Election Day - 8 June 2017 . 65 Table 16: GARCH Results for Event Day 10 - First Round of the UK - EU bilateral Brexit negotiations begin - 19 June 2017 . 66 Table 17: GARCH Results for Event Day 11 - Government introduces the European Union (Withdrawal) Bill - 13 July 2017. 67 Table 18: GARCH Results for Event Day 12 - The European Union (Withdrawal) Bill acquires the Royal Assent and turns into an Act of Parliament - 26 June 2018. 67 Table 19: GARCH Results for Event Day 13 - The Resignation of Brexit Secretary David Davis - 9 July 2018 . 68 Table 20: GARCH Results for Event Day 14 - Government issues preparatory guidance on No- Deal Brexit - 23 August 2018. 69 Table 21: GARCH Results for Event Day 15 - Withdrawal Agreement is published. - 14 November 2018. 69 Table 22: GARCH Results for Event Day 16 - Theresa May wins the confidence vote - 11 December 2018 . 70 Table 23: GARCH Results for Event Day 17 - Theresa May loses the Meaningful Vote - 15 January 2019 . 71 Table 24: GARCH Results for Event Day 18 - The Plan B for Brexit is announced - 21 January 2019 . 71 viii Table 25: GARCH Results for Event Day 19 - Brexit Plan B is rejected by the Parliament. - 14 February 2019 . 72 Table 26: GARCH Results for Event Day 20 - Prime Minister states that in case of a loss of 2nd Meaningful Vote the No-Deal Brexit will be ruled out. - 26 February 2019 . 73 Table 27: GARCH Results for Event Day 21 - Prime Minister experiences a defeat in Meaningful Vote 2 - 12 March 2019 . 74 Table 28: GARCH Results for Event Day 22 - Government loses the Meaningful Vote 3 - 29 March 2019. 74 Table 29: GARCH Results for Event Day 23 - Government demands an extension of Article 50 - 5 April 2019. 75 Table 30: GARCH Results for Event Day 24 - Extension of Article 50 is granted - 10 April 2019. 76 Table 31: GARCH Results for Event Day 25 - Prime Minister announces resignation - 24 May 2019 . 77 Table 32: GARCH Results for Event Day 26 - Boris Johnson becomes England's New Prime Minister - 23 July 2019 . 78 Table 33: GARCH Results for Event Day 27 - Government issues the report of No-Deal - 8 October 2019 . 79 Table 34: GARCH Results for Event Day 28 - The EU (Withdrawal Agreement) Bill is presented to the House of Commons - 21 October 2019. 80 Table 35: GARCH Results for Event Day 29 - Another extension of Brexit is agreed - 28 October 2019. 80 Table 36: GARCH Results for Event Day 30 - Conservative Party wins the General Elections with the sufficient number of MPs to ratify the exit deal until 31 January 2020. - 12 December 2019. 81 ix LIST OF FIGURES Figure 1: The EU Four Freedoms in Norwegian Model. 14 Figure 2: Alternative Brexit Models. 15 Figure 3: Timeline of an Event Study. 52 Graph 1: Actual and Expected Returns of AstraZeneca Graph 2: Actual and Expected Returns of British American Tobacco. 39 Graph 3: Actual and Expected Returns of Royal Dutch Shell A Graph 4: Actual and Expected Returns of BP . 40 Graph 5: Actual and Expected Returns of Diageo Graph 6: Actual and Expected Returns of GlaxoSmithKline . 41 Graph 7: Actual and Expected Returns of Reckitt Benckiser Graph 8: Actual and Expected Returns of Rio Tinto. 42 Graph 9: Actual and Expected Returns of Unilever Graph 10: Actual and Expected Returns of Vodafone . 43 Graph 11: Abnormal Returns of AstraZeneca Graph 12: Abnormal Returns British American Tobacco . 44 Graph 13: Abnormal Returns of Royal Dutch Shell A Graph 14: Abnormal Returns of BP . 45 Graph 15: Abnormal Returns of Diageo Graph 16: Abnormal Returns of GlaxoSmithKline . 46 Graph 17: Abnormal Returns of Reckitt Benckiser Graph 18: Abnormal Returns of Rio Tinto. 46 Graph 19: Abnormal Returns of Unilever Graph 20: Abnormal Returns of Vodafone. 47trinfo:eu-repo/semantics/openAccessMaster Thesis1100697503