Brexit and its impact on EU financial markets
Sivaprasad, S., Muradoglu, G, Izzeldin, M and Pappas, V 2022. Brexit and its impact on EU financial markets. International Finance and Banking Society (IFABS), Naples (2022). Naples 07 - 09 Sep 2022
Sivaprasad, S., Muradoglu, G, Izzeldin, M and Pappas, V 2022. Brexit and its impact on EU financial markets. International Finance and Banking Society (IFABS), Naples (2022). Naples 07 - 09 Sep 2022
| Title | Brexit and its impact on EU financial markets |
|---|---|
| Authors | Sivaprasad, S., Muradoglu, G, Izzeldin, M and Pappas, V |
| Type | Conference paper |
| Abstract | The paper introduces a Brexit intensity measure that assigns an intensity score reflective of the financial markets’ reaction on the events that occurred as Brexit negotiations began to unfold. Subsequently, we investigate the impact of Brexit on volatility spillovers across the EU countries. We find that Brexit related events have contributed towards increased volatility transmission within the EU. Country-wise investigations show that throughout the Brexit timespan, France is the key volatility transmitter within the Union. By contrast, the UK is evidenced as a volatility transmitter during the early stages of Brexit negotiations, under Theresa May as the prime minister. The smallest stock markets of the EU, Ireland, Portugal, and Spain have been amongst those particularly affected. |
| Keywords | G15, C24 |
| Year | 2022 |
| Conference | International Finance and Banking Society (IFABS), Naples (2022) |
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