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NEW CONTINUUM OF HIGH VOLATILE CURRENCY SPILLOVER DURING EUBREXIT

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08 Pages : 77-86

http://dx.doi.org/10.31703/gssr.2021(VI-II).08      10.31703/gssr.2021(VI-II).08      Published : Jun 2

New Continuum of High Volatile Currency Spillover During EU-BREXIT

Abstract

    In this study, the researchers observed the impact of Brexit on the Pound and its spillover to other European countries, likely to be affected during that period. The intraday high-frequency hourly return data of chief monies as Great Britain Pound (GBP), Euro (EUR), Danish Krone (DDK), Hungarian Forint (HUF), Turkish Lira (TRY), Swiss Franc (CHF), Swedish Krona (SEK), and Polish Zloty (PLN), for two months and one day, was utilized. The Intraday volatility spillover index approach and a further rolling window technique applied. The analysis of high-frequency data revealed that four currency pairs as TRY/USD, DKK/USD, PLN/USD, and HUF/USD, are highly volatile currencies. However, three pair currencies as GBP/USD, EUR/USD, and SEK/USD, are comparatively lesser volatile. The results and managerial implications reflect preparedness dynamics and proactiveness for a new continuum project that regional transmission effects of volatility spread from one currency to other currencies in the EU during Brexit.

    Brexit, Forex Market, Volatility Spillovers

    (1) Javed Satti
    Faculty of Management Sciences, International Islamic University, Islamabad, Pakistan.
    (2) Zaheer Abbas
    Assistant Professor/Head, Department of Accounting & Finance, Faculty of Management Sciences, International Islamic University Islamabad, Pakistan.
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Cite this article

APA

CHICAGO

    CHICAGO : Satti, Javed, and Zaheer Abbas. 2021. "New Continuum of High Volatile Currency Spillover During EU-BREXIT." Global Social Sciences Review, VI (II): 77-86 doi: 10.31703/gssr.2021(VI-II).08

HARVARD

    HARVARD : SATTI, J. & ABBAS, Z. 2021. New Continuum of High Volatile Currency Spillover During EU-BREXIT. Global Social Sciences Review, VI, 77-86.

MHRA

    MHRA : Satti, Javed, and Zaheer Abbas. 2021. "New Continuum of High Volatile Currency Spillover During EU-BREXIT." Global Social Sciences Review, VI: 77-86

MLA

    MLA : Satti, Javed, and Zaheer Abbas. "New Continuum of High Volatile Currency Spillover During EU-BREXIT." Global Social Sciences Review, VI.II (2021): 77-86 Print.

OXFORD

    OXFORD : Satti, Javed and Abbas, Zaheer (2021), "New Continuum of High Volatile Currency Spillover During EU-BREXIT", Global Social Sciences Review, VI (II), 77-86

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