Impact of Brexit on Volatility Connectedness across ASX’s Subindices

Kód výsledku v 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>

Výsledek na webu

<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

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Jazyk výsledku

angličtina

Název v původním jazyce

Impact of Brexit on Volatility Connectedness across ASX’s Subindices

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Impact of Brexit on Volatility Connectedness across ASX’s Subindices

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 16th International Scientific Conference European Financial Systems 2019

ISBN

9788021093386

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

369-376

Název nakladatele

Masaryk University Press

Místo vydání

Brno, Czech Republic

Místo konání akce

Brno

Datum konání akce

1. 1. 2019

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000503222600043