Selected paper

Bohdalová, Mária Greguš, Michal
The Impacts of Brexit on European Equity Markets
Year: 2017
Volume: 8
Issue: 2
Pages: 5-18
JEL: G15, G17
DOI: 10.5817/FAI2017-2-1


Brexit, quantile regression, risk, stock market

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.


Alexander, C. (2008). Market Risk Analysis. Chichester: John Wiley & Soons. Aymen, B. R. and Mongi, A. (2016). Financial Market Interdependencies: A Quantile Regression Analysis of Volatility Spillover. Research in International Business and Finance, 36, pp. 140-157. Bae, K. H., Karolyi, G. A. and Stulz, R. M. (2003). A New Approach to Measuring Financial Contagion. Review of Financial Studies, 16(3), pp. 717-763. Baker, S. R., Bloomb, N. and Davis, S. J. (2015). Measuring Economic Policy Uncertainty. CEP Discussion Paper No 1379. Centre for Economic Performance. Available at: Baur, D. G. (2013). The Structure and Degree of Dependence: A Quantile Regression Approach. Journal of Banking & Finance, 37(3), pp. 786–798. Embrechts, P., McNeil, A. and Straumann, D. (2002). Correlation and Dependence in Risk Management: Properties and Pitfalls. In: Dempster, M.A.H. (ed.): Risk Management: Value at Risk and Beyond. Cambridge: Cambridge University Press. Embrechts, P., Lindskog, F. and McNeil, A. (2003). Modelling Dependence with Copulas and Applications to Risk Management. In: Rachev, S. (ed.): Handbook of Heavy Tailed Distributions in Finance. Amsterdam: Elsevier. Hu, L. (2006). Dependence Patterns Across Financial Markets: A Mixed Copula Approach. Applied Financial Economics, 16(10), pp. 717–729. Jackowicz, K. Kozłowski, Ł. and Podgórski, B. (2017). The Distant Echo of Brexit: Did Exporters Suffer the Most? Finance Research Letters, 21, pp. 132-139. Koenker, R. and Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), pp. 33–50. Mensi, W., Hammoudeh, S., Reboredo, J. C. and Nguyen, D. K. (2014). Do Global Factors Impact BRICS Stock Markets? A Quantile Regression Approach. Emerging Markets Review, 19 pp. 1–17. Plakandaras, V., Gupta, R. and Wohar, M. E. (2017). The Depreciation of the Pound Post-Brexit: Could it Have Been Predicted? Finance Research Letters, 21, pp. 206-213. Raddant, M. (2016). The Response of European Stock Markets to the Brexit. Kiel Policy Brief, No. 100. IFW Kiel Institute for the world economy. Available at: Ringe, W. G. (2017). The Irrelevance of Brexit for the European Financial Market. Oxford Legal Studies Research Paper No 10/2017. Available at SSRN: Schiereck, D., Kiesel, F. and Kolaric, S. (2016). Brexit: (Not) Another Lehman Moment for Banks? Finance Research Letters, 19, pp. 291-297. Sita, B. B. (2017). Volatility Patterns of the Constituents of FTSE100 in the Aftermath of the U.K. Brexit Referendum. Finance Research Letters, 23, pp. 137-146.

Call for papers

Call for papers is permanently open for articles across all the research areas.

tel.: +420 549 494 683 | e-mail:
© Copyright 2010–13 IFT