Title: Volatility spillovers between European financial markets: evidence since the Brexit

Authors: Anna Golab; Anna Zamojska

Addresses: School of Business and Law, Edith Cowan University, Australia ' Department of Econometrics, University of Gdansk, Poland

Abstract: In the light of the big rumour around another potential financial crisis: the UK's decision to exit the European Union, this paper presents an analysis of volatility spillover effects around Brexit meltdown time. A number of European countries such as Germany, Poland, Hungary, Czech Republic, Norway, Switzerland, Ireland, Denmark and Sweden are taken into consideration. The analysis contains period from January 2010 until November 2016. This capture the European severing debt crisis, Greek crisis, China's 'Black Monday' crash and Brexit referendum outcome shock. The analysis covers the Diebold and Yilmaz (2009) spillover index, constructed in a VAR framework, to assess spillovers across stock markets returns, multivariate CCC GARCH and Cholesky variance decomposition model. The analysis shows there is no evidence for Europe and the UE to bring other global financial crises, however this paper explains reasons and potential consequences of the Brexit.

Keywords: Brexit; spillover index; CCC-GARCH; variance decomposition; financial crisis.

DOI: 10.1504/IJBG.2019.102909

International Journal of Business and Globalisation, 2019 Vol.23 No.3, pp.345 - 366

Received: 09 Oct 2017
Accepted: 19 Dec 2017
Published online: 11 Oct 2019 *

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