An econophysics approach to study the effect of BREXIT referendum on European Union stock markets
Paulo Ferreira (),
Andreia Dionísio and
Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 1175-1182
We analyze the auto-correlations of all European Union (EU) indices and the cross-correlation between the UK stock market and the other EU markets. This analysis took into account the BREXIT referendum, on the 23rd of June 2016 and the entire period was partitioned in two periods, before and after the BREXIT referendum. First of all, we applied the Detrended Fluctuation Analysis method (with the regular and with a sliding windows approach) in order to evaluate market efficiency. In this case, we found that in general the referendum did not change efficiency levels significantly. With the main purpose of measuring the markets interdependence in relation to the UK index, following the referendum, we calculated the ΔρDCCA coefficient. Our results point to a decrease in the cross-correlation coefficient (ΔρDCCA<0), meaning that the UK is more segmented now, in relation to other EU partners, than in the past. With ΔρDCCA it was possible to identify how much the referendum influenced the interdependence, but not the efficiency, of European markets.
Keywords: BREXIT referendum; Interdependence; Market efficiency; Time series (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:1175-1182
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Haili He ().