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BREXIT referendum’s impact on the financial markets in the UK

Author

Listed:
  • Nikolaos Stoupos

    (University of Macedonia)

  • Apostolos Kiohos

    (University of Macedonia)

Abstract

BREXIT might be considered the most paramount event of the past 40 years in modern English history. The present research attempts to examine the impact of BREXIT referendum vote on the British financial markets. The authors examine the impact of money and capital markets on the forex markets in the UK. In their research, they utilize the ECM-Realized-EGARCH model. Their findings support that there is an excess volatility on the GBP after BREXIT vote. In particular, a momentum investing strategy crash led to the excess volatility on the UK financial markets. Finally, they found out that a further devaluation of the GBP is likely, which may lead to an additional decrease of GBP value especially against the euro and the US dollar in the near future after BREXIT.

Suggested Citation

  • Nikolaos Stoupos & Apostolos Kiohos, 2021. "BREXIT referendum’s impact on the financial markets in the UK," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(1), pages 1-19, February.
    • Handle: RePEc:spr:weltar:v:157:y:2021:i:1:d:10.1007_s10290-020-00393-z
    DOI: 10.1007/s10290-020-00393-z
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    Cited by:

    1. Nikolaos Stoupos & Apostolos Kiohos, 2022. "Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 60(4), pages 1019-1046, July.
    2. Alexander Koch & Toan Luu Duc Huynh & Mei Wang, 2024. "News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 5-34, January.
    3. Hamish Greenop‐Roberts, 2022. "Forecasting Federal Elections: New Data From 2010–2019 and a Discussion of Alternative and Emerging Methods," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 55(1), pages 25-39, March.
    4. Stoupos, Nikolaos & Nikas, Christos & Kiohos, Apostolos, 2023. "Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets," Emerging Markets Review, Elsevier, vol. 54(C).

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    More about this item

    Keywords

    Forex risk; ECM-realized-EGARCH; BREXIT; Currencies; FTSE-100; Stock markets; Government bond yield;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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