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Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS

Author

Listed:
  • Ayedi Ahmed

    (UP8 - Université Paris 8 Vincennes-Saint-Denis)

  • Marjène Gana

    (HEC Montréal - HEC Montréal)

  • Stéphane Goutte

    (SOURCE - SOUtenabilité et RésilienCE - UVSQ - Université de Versailles Saint-Quentin-en-Yvelines - IRD [France-Nord] - Institut de Recherche pour le Développement)

  • Khaled Guesmi

    (PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université)

Abstract

Against the backdrop of the United Kingdom's withdrawal from the European Union (BREXIT), this study examines predictability in the stock markets of sixteen European countries, the United States, and the BRICS (Brazil, China, India, Russia, and South Africa) by analyzing how their returns predict the returns of sixteen commodities at different quantile levels. The study builds upon existing literature on predictability and extends it by investigating the impact of the BREXIT crisis on these markets. The findings suggest that investors can hedge their portfolios with various commodities during times of the BREXIT crisis, but caution is advised, and the trend of both equities and commodities should be closely monitored before making investment decisions.

Suggested Citation

  • Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
    • Handle: RePEc:hal:wpaper:halshs-04068651
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-04068651
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    Keywords

    Equity markets; commodity markets; predictability; BREXIT;
    All these keywords.

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