Volatility spillovers between European financial markets: evidence since the Brexit Online publication date: Fri, 11-Oct-2019
by Anna Golab; Anna Zamojska
International Journal of Business and Globalisation (IJBG), Vol. 23, No. 3, 2019
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.
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