Brexit and Uncertainty in Financial Markets
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs)...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-02-01
|
| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7072/6/1/21 |
| _version_ | 1819262225231118336 |
|---|---|
| author | Guglielmo Maria Caporale Luis Gil-Alana Tommaso Trani |
| author_facet | Guglielmo Maria Caporale Luis Gil-Alana Tommaso Trani |
| author_sort | Guglielmo Maria Caporale |
| collection | DOAJ |
| description | This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal. |
| first_indexed | 2024-12-23T19:54:18Z |
| format | Article |
| id | doaj.art-957d74072beb495580f26f096ba6fe46 |
| institution | Directory Open Access Journal |
| issn | 2227-7072 |
| language | English |
| last_indexed | 2024-12-23T19:54:18Z |
| publishDate | 2018-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | International Journal of Financial Studies |
| spelling | doaj.art-957d74072beb495580f26f096ba6fe462022-12-21T17:33:17ZengMDPI AGInternational Journal of Financial Studies2227-70722018-02-01612110.3390/ijfs6010021ijfs6010021Brexit and Uncertainty in Financial MarketsGuglielmo Maria Caporale0Luis Gil-Alana1Tommaso Trani2Department of Economics and Finance, Brunel University, London UB8 3PH, UKDepartment of Economics, University of Navarra, UB8 3PH Pamplona, SpainDepartment of Economics, University of Navarra, UB8 3PH Pamplona, SpainThis paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal.http://www.mdpi.com/2227-7072/6/1/21BrexituncertaintyIVI indexBritish pound’s implied volatilitiesfinancial markets |
| spellingShingle | Guglielmo Maria Caporale Luis Gil-Alana Tommaso Trani Brexit and Uncertainty in Financial Markets International Journal of Financial Studies Brexit uncertainty IVI index British pound’s implied volatilities financial markets |
| title | Brexit and Uncertainty in Financial Markets |
| title_full | Brexit and Uncertainty in Financial Markets |
| title_fullStr | Brexit and Uncertainty in Financial Markets |
| title_full_unstemmed | Brexit and Uncertainty in Financial Markets |
| title_short | Brexit and Uncertainty in Financial Markets |
| title_sort | brexit and uncertainty in financial markets |
| topic | Brexit uncertainty IVI index British pound’s implied volatilities financial markets |
| url | http://www.mdpi.com/2227-7072/6/1/21 |
| work_keys_str_mv | AT guglielmomariacaporale brexitanduncertaintyinfinancialmarkets AT luisgilalana brexitanduncertaintyinfinancialmarkets AT tommasotrani brexitanduncertaintyinfinancialmarkets |