The event study methodology is employed to analyze the impact of the British decisionto leave the European Union on various stock market indexes, namely Australia -ALL ORDINARIES; Canada - S&P TSX Composite Index; India - BSE Sensex; NewZealand - S&P NZX 50; Singapore - Straits Times Index; Sri Lanka - CSE ALL; UK -FTSE 100 and USA - Dow Jones Industrial Average, for the period of 03/24/2016 to09/23/2016. The aim is to analyze the effects of the Brexit referendum by consideringsymmetric and asymmetric models. The results from the symmetric model suggestthat Australia, Canada and USA showed a significant impact of the referendum for the1 day and 3 day event windows. On the contrary, India, New Zealand and Singaporeshowed a significant impact only on the day of the referendum. The evidence fromthe asymmetric model suggests that Australia, Singapore and Sri Lanka did notshow any significant signs of an impact of the referendum. Moreover, Canada, India,New Zealand and UK realized a significant impact of the referendum during a 3 daywindow. The Brexit had a significant impact on USA for both the 3 day and the 7day event windows.Keywords: Asymmetric model, Brexit, Event study methodology, Event window,Symmetric model
