S&P500 volatility and Brexit contagion
نویسندگان
چکیده
Abstract This paper investigated the existence of contagion between S&P500 and FTSE100 stock indexes, two major exchange markets in world, due to Brexit. Brexit caused a wave volatility international financial immediate reaction US market has brought instability among investors, who remained cautious regarding unexpected unfolds over global economy. Dynamic conditional correlation model (DCC GARCH) was applied analyze shift-contagion phenomenon time series data. The results showed that there no evidence during period. It possible observe moderate increase month referendum, which may be high interdependence asset markets.
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ژورنال
عنوان ژورنال: Gestão & produção
سال: 2023
ISSN: ['1806-9649', '0104-530X']
DOI: https://doi.org/10.1590/1806-9649-2022v30e8422