Brexit and Its Impact on the US Stock Market

doi:10.1007/s11424-020-9174-0

CSpace

	Brexit and Its Impact on the US Stock Market
	Qiao Kenan 1,2; Liu Zhengyang 1,3; Huang Bai 4; Sun Yuying 1,2; Wang Shouyang 1,2,3
	2021-01-12
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
页码	19
摘要	This paper firstly analyzes the Brexit's impact on the US stock market using a novel interval methodology. The interval-valued dummy variables are proposed to measure the direction and magnitudes of the changes in the inter-day trend and the intra-day volatility of S&P500 returns simultaneously. It is found that both the trend and the volatility of S&P500 returns increased before the Brexit. Besides, the Brexit negatively affected S&P500 returns' trend in the short term after the event, while its impact on market volatility was positive, which slowly decayed across time. Furthermore, a new interesting finding is that there are both short-term momentum effects (i.e., positive autocorrelation of trends) and volatility clustering in stock markets.
关键词	Brexit interval time series intra-day volatility S&P500 index
DOI	10.1007/s11424-020-9174-0
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71701199] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[72073126] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[201601]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000608140200021
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/58041
专题	中国科学院数学与系统科学研究院
通讯作者	Sun Yuying
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 4.Cent Univ Finance & Econ, Sch Stat & Math, Beijing 100081, Peoples R China
推荐引用方式 GB/T 7714	Qiao Kenan,Liu Zhengyang,Huang Bai,et al. Brexit and Its Impact on the US Stock Market[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2021:19.
APA	Qiao Kenan,Liu Zhengyang,Huang Bai,Sun Yuying,&Wang Shouyang.(2021).Brexit and Its Impact on the US Stock Market.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,19.
MLA	Qiao Kenan,et al."Brexit and Its Impact on the US Stock Market".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2021):19.