The contagion phenomena of the Brexit process on main stock markets

Ana Escribano and Cristina Íñiguez

International Journal of Finance & Economics, 2021, vol. 26, issue 3, 4462-4481

Abstract: This paper studies the impact of the Brexit process in the main global financial markets by investigating the effect of financial contagion between series of stock index returns. The importance of the United Kingdom, not only at the European level but also at the international level, is the main reason for developing this analysis. We study the response on global financial markets to the Brexit process during the period that covers January 1, 2016 to November 30, 2018. We apply joint tests of contagion where the contagion channels are the conditional correlation, the coskewness and the covolatility between the United Kingdom as a source of contagion and the remaining recipient markets. Our results reveal financial contagion on the main European and international economies consistent with the effect of the Brexit referendum results and the subsequent increasing uncertainty.

Date: 2021
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https://doi.org/10.1002/ijfe.2025

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Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481

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