Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/15808
Title: Brexit and uncertainty in financial markets
Authors: Gil-Alana, L
Trani, T
Issue Date: 2017
Citation: International Journal of Financial Studies, 2018
Abstract: 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 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX, 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 EU to achieve an appropriate Brexit deal.
URI: http://bura.brunel.ac.uk/handle/2438/15808
ISSN: 2227-7072
Appears in Collections:Brunel Business School Research Papers

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