MAREK, Lukáš. Impact of Brexit on Volatility Connectedness across ASX’s Subindices. In Nešleha, Marek, Svoboda, Rakovská. Proceedings of the 16th International Scientific Conference European Financial Systems 2019. Brno, Czech Republic: Masaryk University Press, 2019, p. 369-376. ISBN 978-80-210-9338-6.
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Basic information
Original name Impact of Brexit on Volatility Connectedness across ASX’s Subindices
Authors MAREK, Lukáš (203 Czech Republic, guarantor, belonging to the institution).
Edition Brno, Czech Republic, Proceedings of the 16th International Scientific Conference European Financial Systems 2019, p. 369-376, 8 pp. 2019.
Publisher Masaryk University Press
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50206 Finance
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
WWW URL
RIV identification code RIV/00216224:14560/19:00111425
Organization unit Faculty of Economics and Administration
ISBN 978-80-210-9338-6
UT WoS 000503222600043
Keywords in English Brexit; connectedness; spillover; variance decomposition; VAR
Tags International impact, Reviewed
Changed by Changed by: Mgr. Pavel Sedláček, učo 23217. Changed: 11/5/2020 14:17.
Abstract
In this paper, we apply (Diebold and Yilmaz, 2012) a generalised variance autoregressive framework to measure historical FTSE All-share Index’s (hereafter ASX) sector volatility connectedness with a focus on the Brexit era. The main goal of the paper is to examine if Brexit has altered British inter-market connectedness. We analyse six major ASX’s sectors provided by Bloomberg, which stands for almost 50 % of ASX’s market capitalisation. We use daily prices from May 2006 to the end of May 2019 obtained via Bloomberg Terminal to compute weekly volatility. Then the forecast error variance decomposition is applied to the volatility dataset. The static, as well as the dynamic measurement, is being calculated. We find that the methodology greatly captures volatility shocks, including the shocks primarily caused by Brexit issue. Based on the results, we infer, that the increased volatility connectedness is more of a temporary character than a structural nature.
Links
MUNI/A/1102/2018, interní kód MUName: Modelování nejistoty na finančních trzích
Investor: Masaryk University, Category A
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