Volatility spillovers between European financial markets: evidence since the Brexit
Anna Golab , Anna Zamojska
AbstractIn the light of the big rumour around another potential financial crisis: the UK's decision to exit the European Union, this paper presents an analysis of volatility spillover effects around Brexit meltdown time. A number of European countries such as Germany, Poland, Hungary, Czech Republic, Norway, Switzerland, Ireland, Denmark and Sweden are taken into consideration. The analysis contains period from January 2010 until November 2016. This capture the European severing debt crisis, Greek crisis, China's 'Black Monday' crash and Brexit referendum outcome shock. The analysis covers the Diebold and Yilmaz (2009) spillover index, constructed in a VAR framework, to assess spillovers across stock markets returns, multivariate CCC GARCH and Cholesky variance decomposition model. The analysis shows there is no evidence for Europe and the UE to bring other global financial crises, however this paper explains reasons and potential consequences of the Brexit.
|Journal series||International Journal of Business and Globalisation, ISSN 1753-3627, e-ISSN 1753-3635, (N/A 40 pkt)|
|Publication size in sheets||1.05|
|Keywords in Polish||Brexit, efekt spillover, CCC-GARCH, dekompozycja wariancji, kryzys finansowy|
|Keywords in English||Brexit, spillover index, CCC-GARCH, variance decomposition, financial crisis|
|Score||= 40.0, 28-01-2020, ArticleFromJournal|
|Publication indicators||: 2018 = 0.581|
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