Some Evidence Regarding Stock Markets and the Brexit

Diego Attilio Mancuso ()
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Diego Attilio Mancuso: Università Cattolica S.C.

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2024, pp 224-228 from Springer

Abstract: Abstract This 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.

Keywords: Brexit; changing point analysis; GARCH models (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-64273-9_37

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

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