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^*

^*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in libro › 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.

Lingua originale	English
Titolo della pubblicazione ospite	Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF2024
Editor	M Corazza, F Gannon, F Legros, C Pizzi, V Touzé
Pagine	224-228
Numero di pagine	5
DOI	https://doi.org/10.1007/978-3-031-64273-9_37
Stato di pubblicazione	Pubblicato - 2024

Keywords

Brexit
GARCH models
changing point analysis

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

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Some evidence regarding stock markets and the Brexit

Abstract

Keywords

Accesso al documento

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