Some evidence regarding stock markets and the Brexit

Diego Attilio Mancuso

doi:10.1007/978-3-031-64273-9_37

Some evidence regarding stock markets and the Brexit

Diego Attilio Mancuso^*

^*Corresponding author

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Abstract

The work focuses on the changes among three stock exchange markets after the Brexit referendum. The markets and their indexes are the British FTSE100, the German index DAX40 and the American index S&P500. Using some nested GARCH and OLS models, it is shown that the volatility of the European indices reduced and the FTSE index decorrelated both with DAX and the S&P in a significant way after the referendum.

Original language	English
Title of host publication	Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF2024
Editors	M Corazza, F Gannon, F Legros, C Pizzi, V Touzé
Pages	224-228
Number of pages	5
DOIs	https://doi.org/10.1007/978-3-031-64273-9_37
Publication status	Published - 2024

Keywords

Brexit
GARCH models
changing point analysis

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10.1007/978-3-031-64273-9_37

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abstract = "The work focuses on the changes among three stock exchange markets after the Brexit referendum. The markets and their indexes are the British FTSE100, the German index DAX40 and the American index S&P500. Using some nested GARCH and OLS models, it is shown that the volatility of the European indices reduced and the FTSE index decorrelated both with DAX and the S&P in a significant way after the referendum.",

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AB - The work focuses on the changes among three stock exchange markets after the Brexit referendum. The markets and their indexes are the British FTSE100, the German index DAX40 and the American index S&P500. Using some nested GARCH and OLS models, it is shown that the volatility of the European indices reduced and the FTSE index decorrelated both with DAX and the S&P in a significant way after the referendum.

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KW - GARCH models

KW - changing point analysis

KW - Brexit

KW - GARCH models

KW - changing point analysis

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BT - Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF2024

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A2 - Gannon, F

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A2 - Touzé, V

ER -

Some evidence regarding stock markets and the Brexit

Abstract

Keywords

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