Izzeldin, M, Muradoglu, Y.G., Pappas, V. and Sivaprasad, S. 2026. Brexit and its impact on EU financial markets. International Journal of Finance & Economics. Advanced online publication. https://doi.org/10.1002/ijfe.70149
| Title | Brexit and its impact on EU financial markets |
|---|---|
| Type | Journal article |
| Authors | Izzeldin, M, Muradoglu, Y.G., Pappas, V. and Sivaprasad, S. |
| Abstract | We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets’ reaction to the events that occurred as Brexit negotiations began to unfold. 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. Out of the smallest stock markets of the block, Ireland, Portugal, and Spain have been amongst those particularly affected. |
| Keywords | Brexit, financial markets, volatility spillover, connectedness, Brexit intensity measure |
| Journal | International Journal of Finance & Economics |
| ISSN | 1099-1158 |
| Year | 2026 |
| Publisher | Wiley |
| Accepted author manuscript | File Access Level Open (open metadata and files) |
| Publisher's version | File Access Level Open (open metadata and files) |
| Digital Object Identifier (DOI) | https://doi.org/10.1002/ijfe.70149 |
| Publication dates | |
| Published online | 14 Jan 2026 |
| Supplemental file | File Access Level Open (open metadata and files) |
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Accepted author manuscript
Under embargo until 14 Jan 2027