Volatility spillovers between European financial markets: evidence since the Brexit

Anna Golab , Anna Zamojska

Abstract

In 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.
Author Anna Golab
Anna Golab,,
-
, Anna Zamojska (FM/DE)
Anna Zamojska,,
- Department of Econometrics
Journal seriesInternational Journal of Business and Globalisation, ISSN 1753-3627, e-ISSN 1753-3635, (N/A 40 pkt)
Issue year2019
Vol23
No3
Pages345-366
Publication size in sheets1.05
Keywords in PolishBrexit, efekt spillover, CCC-GARCH, dekompozycja wariancji, kryzys finansowy
Keywords in EnglishBrexit, spillover index, CCC-GARCH, variance decomposition, financial crisis
ASJC Classification1400 General Business, Management and Accounting
DOIDOI:10.1504/IJBG.2019.102909
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 28-01-2020, ArticleFromJournal
Publication indicators Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.581
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