ABSTRACT

The study examined the impact of BREXIT referendum on the Nigerian stock market performance. Event Study methodology was adopted to analyse data set collected from 1st of May, 2015 to 31st June, 2016. Secondary data obtained from the Nigerian Stock Exchange (NSE) were used. The results of the study provided evidence that the Brexit referendum negatively and significantly impacted on the All share index of the NSE during the study period. The results further indicated that on the event day and till the 5th day after the occurrence of the event, the stock market returns, showed a negative response to the events. The cumulative average abnormal returns before the event, average abnormal returns after the event, cumulative abnormal returns before the event, and average abnormal returns after the event in Nigeria between the event period under study were 20.63%, - 56.06%, 47.74%, and -249.54% respectively, showing a negative significant effect on stock market returns on the event day and after event day. The investigation also showed that volatility in the Nigerian stock market coefficients were highly significant which implies that the news about the Brexit referendum has an explanatory power on the Nigerian stock market returns. The result further showed a high statistical significance with low p-values which indicate that the Brexit referendum had a significant relationship with Nigerian stock market volatility. The study concluded that Nigerian stock market reacted sensitively to Brexit referendum results. The information content in the Brexit referendum is therefore useful for valuing the securities in the markets. These findings have important implications for the optimal strategies of risk-averse stock market investors. Hence, the study recommended that the Government and the Nigerian stock market key players should keenly watch and monitor emerging events around the globe, as these often have implication for emerging market through contagion. Also, Nigeria