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英国脱欧对欧洲市场共同走势的影响。

The Brexit impact on European market co-movements.

作者信息

Ben Ameur Hachmi, Louhichi Waël

机构信息

INSSEC Grande Ecole, Paris, France.

ESSCA School of Management, Angers, France.

出版信息

Ann Oper Res. 2022;313(2):1387-1403. doi: 10.1007/s10479-020-03899-9. Epub 2021 Jan 3.

DOI:10.1007/s10479-020-03899-9
PMID:33424075
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7778856/
Abstract

The aim of this paper is to investigate the impact of Brexit on the dependence between European financial markets. We use the Diebold and Yilmaz (2009, 2012) approach to better map the relationship between the three main European markets and we propose an Optimal portfolio weighting to gain insights into the portfolio design dynamics in the period between 2013 and 2019, in particular any changes due to uncertainty surrounding Brexit. First, the findings show that between September 2015 and September 2016, the high level of volatility and spillover confirms the strong degree of market integration, with uncertainty surrounding the referendum outcome having a clear impact on the three main European markets. Second, the direction of spillover in the pre-Brexit period was from the UK market to the French and German markets in anticipation of uncertainty regarding the outcome of the referendum and the period immediately following it. Third, only the conditional correlation between the pair (CAC40-FTSE100) is characterized by an asymmetric effect.

摘要

本文旨在研究英国脱欧对欧洲金融市场之间依存关系的影响。我们采用迪博尔德和伊尔马兹（2009年、2012年）的方法来更好地描绘欧洲三个主要市场之间的关系，并提出一种最优投资组合权重，以深入了解2013年至2019年期间的投资组合设计动态，特别是由于英国脱欧相关不确定性而产生的任何变化。首先，研究结果表明，在2015年9月至2016年9月期间，高度的波动性和溢出效应证实了市场一体化的强烈程度，公投结果的不确定性对欧洲三个主要市场产生了明显影响。其次，脱欧前时期的溢出方向是从英国市场流向法国和德国市场，这是由于对公投结果及其后紧接着时期的不确定性预期。第三，只有（法国CAC40指数-英国富时100指数）这一对之间的条件相关性具有不对称效应。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/2de4a2ef44d9/10479_2020_3899_Fig8_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/0fe3922058ad/10479_2020_3899_Fig1_HTML.jpg
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https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/516d9e02b778/10479_2020_3899_Fig5_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/a0c1d003a63f/10479_2020_3899_Fig6_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/b50829bd3298/10479_2020_3899_Fig7_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/2de4a2ef44d9/10479_2020_3899_Fig8_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/0fe3922058ad/10479_2020_3899_Fig1_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/6f852c7b604a/10479_2020_3899_Fig2_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/34d6e751f6af/10479_2020_3899_Fig3_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/847bfdd76cfb/10479_2020_3899_Fig4_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/516d9e02b778/10479_2020_3899_Fig5_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/a0c1d003a63f/10479_2020_3899_Fig6_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/b50829bd3298/10479_2020_3899_Fig7_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b1c/7778856/2de4a2ef44d9/10479_2020_3899_Fig8_HTML.jpg

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