Impact of Brexit on Volatility Connectedness across ASX’s Subindices

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00111425" target="_blank" >RIV/00216224:14560/19:00111425 - isvavai.cz</a>
Result on the web
<a href="https://is.muni.cz/do/econ/sborniky/2019/" target="_blank" >https://is.muni.cz/do/econ/sborniky/2019/</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Impact of Brexit on Volatility Connectedness across ASX’s Subindices
Original language description
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.
Czech name
—
Czech description
—

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 16th International Scientific Conference European Financial Systems 2019
ISBN
9788021093386
ISSN
—
e-ISSN
—
Number of pages
8
Pages from-to
369-376
Publisher name
Masaryk University Press
Place of publication
Brno, Czech Republic
Event location
Brno
Event date
Jan 1, 2019
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000503222600043

Similar results(10)