The Impacts of Brexit on European Equity Markets

Mária Bohdalová, Michal Greguš

The Impacts of Brexit on European Equity Markets

Číslo: 2/2017
Periodikum: Financial Assets and Investing
DOI: 10.5817/FAI2017-2-1

Klíčová slova: Brexit, quantile regression, risk, stock market, Brexit, kvantilová regrese, riziko, akciový trh

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Anotace: The aim of this paper is to give a comprehensive description of the risk dependence and interdependence between selected European stock markets and Brexit equity in the period spanning from January, 7, 2000 to February, 3, 2017. We have studied behavior of extreme quantiles using quantile regression approach. This approach is robust because it is based on the use of various measures of central tendency and dispersion statistics for a detailed analysis of the relationship between variables. We have found evidence of significant interdependence/independence between financial markets and Brexit uncertainty. The analysis of upper and lower quantiles allows us to observe that the interdependence is positive asymmetric and higher for bear markets compared to bull or normal market conditions in the period before the Brexit vote. Moreover, we have analyzed the influence of the Brexit vote on selected markets. We have found that one or two or three days after voting the dependence structure was changed mainly in normal market conditions for French and Turkish markets, while Polish and Spanish markets were not significantly influenced.