The distant echo of Brexit: Did exporters suffer the most?

Jackowicz, Krzysztof; Kozłowski, Łukasz; Podgórski, Błażej

doi:10.1016/j.frl.2016.11.012

Cited by 12 publications

(13 citation statements)

References 20 publications

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“…Analysis of investor's reactions to Brexit on the Warsaw Stock Exchange market has been investigated in Jackowicz et al (2017). The authors found mostly uniform reactions of the investors using OLS regressions with robust standard errors and industry sector dummies.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impacts of Brexit on European Equity Markets

Bohdalová

Greguš

2017

FAI

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The aim of this paper is to give a comprehensive description of the risk dependence and interdependence between selected European stock markets and Brexit equity in the period spanning from January, 7, 2000 to February, 3, 2017 We have studied behavior of extreme quantiles using quantile regression approach. This approach is robust because it is based on the use of various measures of central tendency and dispersion statistics for a detailed analysis of the relationship between variables. We have found evidence of significant interdependence /independence between financial markets and Brexit uncertainty. The analysis of upper and lower quantiles allows us to observe that the interdependence is positive asymmetric and higher for bear markets compared to bull or normal market conditions in the period before the Brexit vote. Moreover, we have analyzed the influence of the Brexit vote on selected markets. We have found that one or two or three days after voting the dependence structure was changed mainly in normal market conditions for French and Turkish markets, while Polish and Spanish markets were not significantly influenced.

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Section: Literature Reviewmentioning

confidence: 99%

The Impacts of Brexit on European Equity Markets

Bohdalová

Greguš

2017

FAI

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“…To the best of our knowledge, this remains underexplored in recent empirical research. Finally, unlike previous studies ( Jackowicz et al, 2017;Li et al, 2016;Oehler et al, 2017;Sita, 2017), this one considers not only the pre-Brexit referendum period and the post-Brexit referendum period, but also divisions of these preand post-periods with the aim of capturing, more accurately, differences in the Brexit impact. During the pre-Brexit referendum period, the question was about leaving or not; in the months following June 23, 2016, there were doubts about the degree of Brexit severity and during recent months up to March 2017, uncertainty about trade and the final impact of Brexit remains.…”

Section: Introductionmentioning

confidence: 99%

Co-movements between the British pound, the euro and the Japanese yen: the Brexit impact

Álvarez‐Díez

Baixauli‐Soler

Belda‐Ruiz

2019

JES

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Purpose The purpose of this paper is to analyze the Brexit effect – pre-Brexit and post-Brexit referendum periods – on the co-movements between the British pound (GBP), the euro (EUR) and the yen (JPY) against the US dollar (USD). Design/methodology/approach To ascertain the asymmetric behavior of dynamic correlations, the authors use the dynamic conditional correlation (DCC) model, the asymmetric dynamic conditional correlation (A-DCC) model and the diagonal BEKK model assuming Gaussian and Student’s t distribution. Several dummy variables have been included in order to identify the main periods related to Brexit. Findings Findings show a negative impact of the pre-Brexit referendum period on the correlation between GBP and EUR, while there is no significant effect on GBP–JPY and EUR–JPY pairs. The loss of correlation in the GBP–EUR pairing has not recovered during the post-Brexit referendum period, which could be attributed to the uncertainty about the final impact of Brexit on British and Eurozone economies. Practical implications The loss of correlation in the GBP–EUR pair has important implications for individual investors, portfolio managers and traders with respect to hedging activities, international trading and investment strategies. Originality/value The results are the first to address how Brexit has impacted on the co-movements between exchange rates using different multivariate models that allow for correlations to change over time.

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“…The other aspect of it is the negative impacts of exit on the member counties. (Jackowicz, Kozłowskia, & Podgórski, 2016) examined whether the exporters on the Warsaw Stock Exchange suffered the most from Brexit. Unexpectedly, they found out that investors' reactions were mostly identical with regard to the firms' dependence on exports.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of Brexit on Islamic stock markets: employing MGARCH-DCC and wavelet correlation analysis

Cikiryel

Aslan

Özdemir

2021

IMEFM

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Purpose This paper aims to study the co-movement dynamics of Islamic equity returns to explain international portfolio diversification opportunities for investors having a heterogeneous stock holding period in light of Brexit. Design/methodology/approach The authors use the following three recent methodologies: the multivariate generalised autoregressive conditional heteroskedastic-dynamic conditional correlations, continuous wavelet transforms and maximum overlap discrete wavelet transform. Dow Jones Islamic country-based indexes are used from 2 September 2013 to 31 December 2019. Findings There is a high correlation between the United Kingdom (UK) Islamic stock market return with the Canadian, USA, Malaysian and Indian implying lesser diversification benefits for the investors. However, the results tend to indicate that UK Islamic stock market investors who have allocated their investment in Sri Lanka, Kuwait, Japan and Turkey have enjoyed diversification benefits. Besides, there is a declining correlation between UK Islamic stock markets and other selected markets aftermath of Brexit. Turkey seems the most volatile stock over the period, appealing to risk-lover investors to gain from price changes. When the shock occurs in the financial sector, the volatility is mean-reverting faster than other markets in Sri Lanka. On the other hand, Malaysia appears to have the least volatility implying a stable financial sector. Research limitations/implications The results tend to shed light on effective portfolio diversification benefits in light of the recent shock (Brexit) between the UK Islamic stock index and other selected indexes that vary from country to country depending on investment horizons. This critically confirms the significance of heterogeneity in investment horizons and provides significant inferences for portfolio diversification strategies. Originality/value To the best of the authors’ knowledge, this study is the first study investigating the Brexit effect on Islamic stocks, guiding Shariah sensitive investors in their diversification strategies, providing information to investors to consider the implications of this incident on Islamic stocks for future shocks.

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The distant echo of Brexit: Did exporters suffer the most?

Cited by 12 publications

References 20 publications

The Impacts of Brexit on European Equity Markets

The Impacts of Brexit on European Equity Markets

Co-movements between the British pound, the euro and the Japanese yen: the Brexit impact

Impact of Brexit on Islamic stock markets: employing MGARCH-DCC and wavelet correlation analysis

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