| Summary: | 碩士 === 大葉大學 === 管理學院碩士在職專班 === 106 === The United Kingdom European Union membership referendum, also known as the Brexit referendum, took place on 23 June 2016. The majority of investors expected Remain to be the winning side, only to suffer the market turmoil after the unforeseen referendum turnout favoring Brexit. To fully understand the influence of Brexit referendum on the financial market, this research conducted empirical analysis on equity mutual funds and small cap stock mutual funds aiming at European markets, to explore whether mutual funds generate abnormal returns due to Brexit.
Applying the Event Study approach, this research collects and the sample data of 114 European mutual funds to the empirical analysis. This result shows that Brexit did have a significant influence on the performances of the mutual funds. On the day of the event and the day after it, among others, negative abnormal returns have been observed.
From the perspective of event windows, except the positive abnormal returns during the 5 days before and after the event, the cumulative abnormal returns during the 15 days before and after it are negative, which indicates that, in the short term, the abnormal returns of European mutual funds are influenced by Brexit. The cumulative abnormal returns during the 30 days before and after it, however, are positive, showing that Brexit didn’t wield negative influence on the performance of mutual funds. The investors’ decision to buy or redeem at this moment will result in the significant differences to their returns.
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