Differential market reactions to pre and post Brexit referendum

Usman Bashir; Gilney Figueira Zebende; Yugang Yu; Muntazir Hussain; Ahmed Ali; Ghulam Abbas

doi:10.1016/j.physa.2018.09.182

Differential market reactions to pre and post Brexit referendum

Usman Bashir^*
, Gilney Figueira Zebende
, Yugang Yu
, Muntazir Hussain
, Ahmed Ali
, Ghulam Abbas

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

33 Scopus citations

Abstract

The United Kingdom voted to leave the European Union on 23 June 2016, which led to a notable shift in the financial markets. This study investigates the dynamic linkages between stock price and exchange rate for the UK and four other EU countries, considering the periods before and after the Brexit referendum. We applied the detrended fluctuation analysis (DFA) and the detrended cross-correlation coefficient, ρ_DCCA, to investigate the influence of Brexit referendum event to provide fresh evidence of co-movements among the European financial markets. In this case we found positive and negative co-movements in UK and EU financial markets demonstrating a different pattern for these two periods. ρ_DCCA findings suggest that most of the European financial markets tend to be negatively correlated in the long term after the Brexit referendum.

Original language	English
Pages (from-to)	151-158
Number of pages	8
Journal	Physica A: Statistical Mechanics and its Applications
Volume	515
DOIs	https://doi.org/10.1016/j.physa.2018.09.182
State	Published - 1 Feb 2019
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2018 Elsevier B.V.

Keywords

Brexit
DCCA coefficient
DFA method
Financial markets

ASJC Scopus subject areas

Statistics and Probability
Condensed Matter Physics

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10.1016/j.physa.2018.09.182

Cite this

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title = "Differential market reactions to pre and post Brexit referendum",

abstract = "The United Kingdom voted to leave the European Union on 23 June 2016, which led to a notable shift in the financial markets. This study investigates the dynamic linkages between stock price and exchange rate for the UK and four other EU countries, considering the periods before and after the Brexit referendum. We applied the detrended fluctuation analysis (DFA) and the detrended cross-correlation coefficient, ρDCCA, to investigate the influence of Brexit referendum event to provide fresh evidence of co-movements among the European financial markets. In this case we found positive and negative co-movements in UK and EU financial markets demonstrating a different pattern for these two periods. ρDCCA findings suggest that most of the European financial markets tend to be negatively correlated in the long term after the Brexit referendum.",

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doi = "10.1016/j.physa.2018.09.182",

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AU - Bashir, Usman

AU - Zebende, Gilney Figueira

AU - Yu, Yugang

AU - Hussain, Muntazir

AU - Ali, Ahmed

AU - Abbas, Ghulam

PY - 2019/2/1

Y1 - 2019/2/1

N2 - The United Kingdom voted to leave the European Union on 23 June 2016, which led to a notable shift in the financial markets. This study investigates the dynamic linkages between stock price and exchange rate for the UK and four other EU countries, considering the periods before and after the Brexit referendum. We applied the detrended fluctuation analysis (DFA) and the detrended cross-correlation coefficient, ρDCCA, to investigate the influence of Brexit referendum event to provide fresh evidence of co-movements among the European financial markets. In this case we found positive and negative co-movements in UK and EU financial markets demonstrating a different pattern for these two periods. ρDCCA findings suggest that most of the European financial markets tend to be negatively correlated in the long term after the Brexit referendum.

AB - The United Kingdom voted to leave the European Union on 23 June 2016, which led to a notable shift in the financial markets. This study investigates the dynamic linkages between stock price and exchange rate for the UK and four other EU countries, considering the periods before and after the Brexit referendum. We applied the detrended fluctuation analysis (DFA) and the detrended cross-correlation coefficient, ρDCCA, to investigate the influence of Brexit referendum event to provide fresh evidence of co-movements among the European financial markets. In this case we found positive and negative co-movements in UK and EU financial markets demonstrating a different pattern for these two periods. ρDCCA findings suggest that most of the European financial markets tend to be negatively correlated in the long term after the Brexit referendum.

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KW - DCCA coefficient

KW - DFA method

KW - Financial markets

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ER -

Differential market reactions to pre and post Brexit referendum

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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