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- W4377291259 abstract "Abstract This paper investigated the existence of contagion between S&P500 and FTSE100 stock indexes, the two major stock exchange markets in the world, due to Brexit. Brexit caused a wave of volatility in international financial markets and the immediate reaction in US market has brought instability among investors, who remained cautious regarding the unexpected unfolds over the global economy. Dynamic conditional correlation model (DCC GARCH) was applied to analyze the shift-contagion phenomenon in the time series data. The results showed that there was no evidence of shift-contagion between the two markets during the Brexit period. It was possible to observe a moderate increase in the conditional correlation during the month of the Brexit referendum, which may be due to the high interdependence between the two asset markets." @default.
- W4377291259 created "2023-05-23" @default.
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- W4377291259 date "2023-01-01" @default.
- W4377291259 modified "2023-10-18" @default.
- W4377291259 title "S&P500 volatility and Brexit contagion" @default.
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- W4377291259 doi "https://doi.org/10.1590/1806-9649-2022v30e8422" @default.
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