Record Details

Did Brexit change the behaviour of the UK’s financial markets?

Journal of Economics and Political Economy

View Archive Info
 
 
Field Value
 
Title Did Brexit change the behaviour of the UK’s financial markets?
 
Creator FAKHRY, Bachar; University of Bedfordshire, UK
 
Subject Volatility test; Asymmetrical C-GARCH-m; Financial markets; Brexit.
C12; C58; D81; G01; G14; G15; G18; G40.
 
Description Abstract. The recent UK referendum results and subsequent initiation of Article 50 in the 2007 Lisbon Treaty set in motion the UK’s withdrawal from the European Union, acknowledge as Brexit. The result and subsequent action were unprecedented and for many unforeseeable. Apart from the political instability and division of the country, the complicated and long process of Brexit have both economic and financial consequences. With this in mind, we analyse the impact of Brexit on four main British financial markets: Equity, Foreign Exchange, Gold and Sovereign Debt; using daily data. We extendthe variance bound test proposed by Fakhry & Richter (2018) underpinned by an asymmetrical C-GARCH-m model of volatility. Unlike many in the past, we placed the emphasis on the stable markets; thus introducing the stable marketpre-condition hypothesis. We analyse the long and short run effects of Brexit on the stability of the UK’s financial market. Our results hint at a certain impact on the UK’s financial market in both the long and short runs on the market stability and hence efficiency. This seems to be dictated by the reaction of market participants to uncertainty surrounding the future of the UKKeywords. Volatility test, Asymmetrical C-GARCH-m, Financial markets, Brexit.JEL. C12, C58, D81, G01, G14, G15, G18, G40.
 
Publisher Journal of Economics and Political Economy
Journal of Economics and Political Economy
 
Contributor —
 
Date 2019-05-26
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
—
 
Format application/pdf
 
Identifier http://www.kspjournals.org/index.php/JEPE/article/view/1868
10.1453/jepe.v6i2.1868
 
Source Journal of Economics and Political Economy; Vol 6, No 2 (2019): June; 98-121
Journal of Economics and Political Economy; Vol 6, No 2 (2019): June; 98-121
2148-8347
 
Language eng
 
Relation http://www.kspjournals.org/index.php/JEPE/article/view/1868/1881
 
Rights Copyright (c) 2019 Journal of Economics and Political Economy
http://creativecommons.org/licenses/by-nc/4.0