Brexit Decision Effects on European Derivatives Markets: A Sectoral Analysis

Nikolaos A. Kyriazis and Emmanouil-Marios-Lazaros Economou ()
Additional contact information
Nikolaos A. Kyriazis: Department of Economics, University of Thessaly, Volos, Greece.

Bulletin of Political Economy, 2017, vol. 11, issue 1, 45-58

Abstract: This paper examines the Brexit’s referendum impacts on quotes of different sectors in the European derivatives market by employing a Vector Autoregression (VAR) approach for detecting bi-directional effects. During nine months after the affirmative decision about the United Kingdom (UK) leaving the European Union (EU), the primary importance British FTSE100 index is found to have influenced the prices of the highly representative of European futures markets Eurostoxx600 index and its components in a positive and statistically significant manner. Interestingly, Automobiles & Parts, Banks, Basic Resources, Construction & Materials, Oil & Gas, as well as Industrial Goods & Services are the futures sectors mostly affected by volatility in the British stock market. We argue that the Brexit decision effects mainly act through main secondary production sectors of the European economy, whereas reverse effects rely most on financial and banking services, telecommunications, as well as industrial and automobile goods.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://serialsjournals.com/abstract/36480_3_nikolaos.pdf (application/pdf)
https://www.bulletinofpe.com/nikolaos-a-kyriazis-emmanouil-m-l-economou-20171 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:awu:journl:v:11:y:2017:i:1:p:45-58

Access Statistics for this article

More articles in Bulletin of Political Economy from Bulletin of Political Economy
Bibliographic data for series maintained by Maria Cristina Barbieri Goes ().