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 › Capitolo

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	Inglese
Titolo della pubblicazione ospite	Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF2024
Editore	Springer Cham
Pagine	224-228
Numero di pagine	5
ISBN (stampa)	9783031642722
DOI	https://doi.org/10.1007/978-3-031-64273-9_37
Stato di pubblicazione	Pubblicato - 2024

All Science Journal Classification (ASJC) codes

Economia, Econometria e Finanza Generali
Business, Management e Contabilità Generali
Matematica generale

Keywords

Brexit
GARCH models
changing point analysis

Accesso al documento

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

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KW - changing point analysis

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KW - GARCH models

KW - changing point analysis

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Some evidence regarding stock markets and the Brexit

Abstract

All Science Journal Classification (ASJC) codes

Keywords

Accesso al documento

Altri file e collegamenti

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