The 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.
Mancuso, D. A., Some evidence regarding stock markets and the Brexit, in Corazza, M., Gannon, F., Legros, F., Pizzi, C., Touzé, V. (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF2024, Springer Cham, Cham 2024: 224- 228. 10.1007/978-3-031-64273-9 [https://hdl.handle.net/10807/290756]
Some evidence regarding stock markets and the Brexit
Mancuso, Diego Attilio
Conceptualization
2024
Abstract
The 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.
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