Question of the Week - August 2nd 2016

How have regional market conditions fared since the British referendum?


Chart 1: Average Percent Change in Daily Volume Compared to Pre-Vote Levels (6/1/16 – 6/23/16)


Chart 2: Average Percent Change in Price Compared to Pre-Vote Levels (6/1/16 – 6/23/16)

  • Global markets were rocked on June 24, 2016 by the unexpected result of the referendum in which Britain voted to exit the European Union. Markets around the world crashed and volatility spiked as market participants reacted to the news. We quantify the extent to which market conditions were affected and assess whether conditions have reverted to pre-vote conditions since the news broke.
  • As expected, European stocks had the most pronounced reactions to the news of Britain’s vote. On average, volume spiked by 150% compared to average volume from 6/1 through 6/23; volumes remained elevated for two weeks following the news. The average stock price dropped by 10% on the two trading days after the vote and remained down for the next three weeks. By the middle of July, the average stock was down around 1% from the beginning of June.
  • Asian and North American markets also experienced dramatically elevated volumes following the vote. Volumes have continued to spike in the weeks since the vote though they have returned to pre-vote levels on some days.
  • Latin American stocks were impacted least and did not see a large increase in volume following the news. Stock prices dropped slightly at the end of June but rebounded quickly and have continued to increase.


Stocks underlying the ACWI ETF were included in the analysis. Developed Asia includes AUS, HKG and JPN. Daily volume and daily vwap prices were compared to the average volume and vwap from 6/1/16 through 6/23/16 (pre-vote average) to calculate percent changes on a stock by stock basis. Aggregate volume and price changes were calculated by taking the equally weighted average of each underlying stock.


Refer to ITG Equity Related Analytics for information on available Equity Related Analytics.

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