Using four Brexit-related announcements as a source of exogenous information shocks, we investigate the semi-strong form of efficiency in seven major European stock markets. Our results suggest that only the announcement of the Brexit referendum result produced statistically significant negative cumulative abnormal returns in the markets of the sample. However, with the exception of the Irish stock market, the effects ceased to be significant in a period of five trading sessions after the event. We also document an increase in trading activity, though statistically insignificant, in the day of the referendum and in the following days. Overall, our results are in line with the semi-strong form of market efficiency.

中文翻译：

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股市对英国退欧公告的反应：来自自然实验的证据

使用四个与英国退欧相关的公告作为外生信息冲击的来源，我们调查了欧洲七个主要股票市场的半强效率形式。我们的结果表明，只有英国退欧公投结果的公布在样本市场中产生了统计上显着的负累积异常回报。然而，除爱尔兰股市外，在事件发生后的五个交易日内，影响不再显着。我们还记录了公投当天和随后几天的交易活动增加，尽管在统计上并不显着。总体而言，我们的结果符合半强式市场效率。