Brexit and Global Implied Volatility Indices

Imlak Shaikh ()
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Imlak Shaikh: Management Development Institute

Chapter Chapter 6 in Advances in Time Series Data Methods in Applied Economic Research, 2018, pp 73-88 from Springer

Abstract: Abstract The study examines major implied volatility indices of Eurozone, Asia-Pacific, Africa, Canada and USA on the event of Brexit poll of UK. To investigate the fear and greed of investors’ on this historical event, we consider the window of 11-days. The findings suggest that investors’ degree of over-reaction on Brexit decision was very disappointing and fueled concerns on the future investment and portfolio choices. The key volatility indices were on the rise prior to the decision, while the market noticed astray and breached its normal range on the day of Brexit poll results. The results are consistent with the market efficiency, and options trading that contain enough information to explain future stock market volatility. Definitely, the work has practical implications to volatility traders and portfolio managers. This empirical attempt provides a good opportunity for researchers in financial economics to examine global linkages of financial markets, more specifically gives an insight how EU’s financial system and equity markets will perform in future. The Brexit events will change the way of risk management and assets management in the Europe and neighbor countries.

Keywords: Abnormal returns; Brexit; Cumulative abnormal returns; Implied volatility; Stock returns; Volatility index (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-02194-8_6

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DOI: 10.1007/978-3-030-02194-8_6

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