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It’s Not EU, It’s Me!: An Event Study of Brexit on Financial Markets
KTH, School of Industrial Engineering and Management (ITM).
KTH, School of Industrial Engineering and Management (ITM).
2019 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
It’s Not EU, It’s Me! : En eventanalys av Brexit på den finansiella marknaden (Swedish)
Abstract [en]

This paper investigates the impact of the European Union membership referendum in the UK on the correlations and volatility between three different broad stock market indices, utilizing an econometric time series model called DCC GARCH. Findings support the claim of higher volatility peaks on the stock market as an immediate response to the event. Evidence indicate higher shortrun correlations between the indices as a response to higher volatility. In addition, the study present evidence that the correlation between the UK stock index and the other two indices declines after the referendum in 2016.

Abstract [sv]

Studien undersöker konsekvenserna av folkomröstningen om Storbritanniens medlemskap i EU. Korrelationen och volatiliteten mellan tre olika aktiemarknadsindex jämförs med hjälp av en ekonometrisk modell för tidsserier kallad DCC GARCH. Resultaten från studien visar på omedelbart högre nivåer av volatilitet på aktiemarknaden dagarna efter omröstningen. Analysen ger stöd för hypotesen om högre nivåer av kortsiktiga korrelationer mellan indexen som en konsekvens av högre nivåer av volatilitet. Resultat visar även på att korrelationen mellan det brittiska aktieindexet och de övriga två minskar efter det undersökta eventet.

Place, publisher, year, edition, pages
2019. , p. 66
Series
TRITA-ITM-EX ; 2019:237
Keywords [en]
Brexit; Correlation; DCC GARCH; EU; Time Series; Volatility.
Keywords [sv]
DCC GARCH; EU; Korrelation; Tidsserier; Volatilitet.
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-264181OAI: oai:DiVA.org:kth-264181DiVA, id: diva2:1372224
Supervisors
Examiners
Available from: 2019-11-22 Created: 2019-11-22 Last updated: 2019-11-22Bibliographically approved

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Citation style
  • apa
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  • de-DE
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  • nn-NB
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  • Other locale
More languages
Output format
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