NEW CONTINUUM OF HIGH VOLATILE CURRENCY SPILLOVER DURING EUBREXIT

http://dx.doi.org/10.31703/gssr.2021(VI-II).08      10.31703/gssr.2021(VI-II).08      Published : Jun 2
Authored by : Javed Satti , Zaheer Abbas

08 Pages : 77-86

References

  • Adesina, T. (2017). Estimating volatility persistence under a Brexit-vote structural break. Finance Research Letters, 23, 65-68.
  • Andersen, T. G., & Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International economic review, 885-905.
  • Aristeidis, S., & Elias, K. (2018). Empirical analysis of market reactions to the UK's referendum results-How strong will Brexit be?. Journal of International Financial Markets, Institutions and Money, 53, 263- 286.
  • Baker, S. R., Bloom, N., & Davis, S. J. (2016). Policy uncertainty: Trying to estimate the uncertainty impact of Brexit. Presentation, September, 2.
  • Barbosa, L. O. S., Jayme Jr, F. G., & Missio, F. J. (2018). Determinants of the real exchange rate in the long-run for developing and emerging countries: a theoretical and empirical approach. International Review of Applied Economics, 32(1), 62-83.
  • Branson, W. H. (1983). A model of exchange- rate determination with policy reaction: evidence from monthly data. NBER Working Paper, (w1135).
  • Breinlich, H., Leromain, E., Novy, D., & Sampson, T. (2017). The Brexit vote, inflation and UK living standards. CEP Brexit Analysis, 11, 2-15.
  • Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.
  • Dooley, M., & Hutchison, M. (2009). Transmission of the US subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis. Journal of International Money and Finance, 28(8), 1331-1349.
  • Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. The American Economic Review, 70(5), 960- 971.
  • Dungey, M., & Gajurel, D. (2014). Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies. Economic Systems, 38(2), 161- 177.
  • Etuk, E. H., & Amadi, E. H. (2016). Intervention Analysis of Daily GBP-USD Exchange Rates Occasioned by BREXIT. International Journal of management, accounting and Economics, 3(12), 797-805.
  • Frankel, J. A., & Stock, J. H. (1983). A Relationship Between Regression Tests and Volatility Tests of Market ncy (No. w1105). National Bureau of Economic Research.
  • Greenaway, D., Milner, C., & Elliott, R. J. (1999). UK Intra-industry Trade with the EU North and South. Oxford Bulletin of Economics and Statistics, 61(3), 365-384.
  • HOANG, D. T., DO, A. D., & TRINH, M. V. (2021). Spillover Effects of FDI on Technology Innovation of Vietnamese Enterprises. The Journal of Asian Finance, Economics, and Business, 8(1), 655-663.
  • King, M. A., & Wadhwani, S. (1990). Transmission of volatility between stock markets. The Review of Financial Studies, 3(1), 5-33.
  • Lai, K. P., & Pan, F. (2018). Brexit and shifting geographies of financial centres in Asia. Geoforum.
  • Nishimura, Y., & Sun, B. (2018). The intraday volatility spillover index approach and an application in the Brexit vote. Journal of International Financial Markets, Institutions and Money, 55, 241-253.
  • Oehler, A., Horn, M., & Wendt, S. (2017). Brexit: Short-term stock price effects and the impact of firm-level internationalization. Finance Research Letters, 22, 175-181.
  • Plakandaras, V., Gupta, R., & Wohar, M. E. (2017). The depreciation of the pound post- Brexit: Could it have been predicted?. Finance research letters, 21, 206-213.
  • Ramiah, V., Pham, H. N., & Moosa, I. (2017). The sectoral effects of Brexit on the British economy: early evidence from the reaction of the stock market. Applied economics, 49(26), 2508-2514.
  • Syllignakis, M. N., & Kouretas, G. P. (2011). Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets. International Review of Economics & Finance, 20(4), 717-732.
  • Tielmann, A., & Schiereck, D. (2017). Arising borders and the value of logistic companies: Evidence from the Brexit referendum in Great Britain. Finance Research Letters, 20, 22-28

References

  • Adesina, T. (2017). Estimating volatility persistence under a Brexit-vote structural break. Finance Research Letters, 23, 65-68.
  • Andersen, T. G., & Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International economic review, 885-905.
  • Aristeidis, S., & Elias, K. (2018). Empirical analysis of market reactions to the UK's referendum results-How strong will Brexit be?. Journal of International Financial Markets, Institutions and Money, 53, 263- 286.
  • Baker, S. R., Bloom, N., & Davis, S. J. (2016). Policy uncertainty: Trying to estimate the uncertainty impact of Brexit. Presentation, September, 2.
  • Barbosa, L. O. S., Jayme Jr, F. G., & Missio, F. J. (2018). Determinants of the real exchange rate in the long-run for developing and emerging countries: a theoretical and empirical approach. International Review of Applied Economics, 32(1), 62-83.
  • Branson, W. H. (1983). A model of exchange- rate determination with policy reaction: evidence from monthly data. NBER Working Paper, (w1135).
  • Breinlich, H., Leromain, E., Novy, D., & Sampson, T. (2017). The Brexit vote, inflation and UK living standards. CEP Brexit Analysis, 11, 2-15.
  • Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.
  • Dooley, M., & Hutchison, M. (2009). Transmission of the US subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis. Journal of International Money and Finance, 28(8), 1331-1349.
  • Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. The American Economic Review, 70(5), 960- 971.
  • Dungey, M., & Gajurel, D. (2014). Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies. Economic Systems, 38(2), 161- 177.
  • Etuk, E. H., & Amadi, E. H. (2016). Intervention Analysis of Daily GBP-USD Exchange Rates Occasioned by BREXIT. International Journal of management, accounting and Economics, 3(12), 797-805.
  • Frankel, J. A., & Stock, J. H. (1983). A Relationship Between Regression Tests and Volatility Tests of Market ncy (No. w1105). National Bureau of Economic Research.
  • Greenaway, D., Milner, C., & Elliott, R. J. (1999). UK Intra-industry Trade with the EU North and South. Oxford Bulletin of Economics and Statistics, 61(3), 365-384.
  • HOANG, D. T., DO, A. D., & TRINH, M. V. (2021). Spillover Effects of FDI on Technology Innovation of Vietnamese Enterprises. The Journal of Asian Finance, Economics, and Business, 8(1), 655-663.
  • King, M. A., & Wadhwani, S. (1990). Transmission of volatility between stock markets. The Review of Financial Studies, 3(1), 5-33.
  • Lai, K. P., & Pan, F. (2018). Brexit and shifting geographies of financial centres in Asia. Geoforum.
  • Nishimura, Y., & Sun, B. (2018). The intraday volatility spillover index approach and an application in the Brexit vote. Journal of International Financial Markets, Institutions and Money, 55, 241-253.
  • Oehler, A., Horn, M., & Wendt, S. (2017). Brexit: Short-term stock price effects and the impact of firm-level internationalization. Finance Research Letters, 22, 175-181.
  • Plakandaras, V., Gupta, R., & Wohar, M. E. (2017). The depreciation of the pound post- Brexit: Could it have been predicted?. Finance research letters, 21, 206-213.
  • Ramiah, V., Pham, H. N., & Moosa, I. (2017). The sectoral effects of Brexit on the British economy: early evidence from the reaction of the stock market. Applied economics, 49(26), 2508-2514.
  • Syllignakis, M. N., & Kouretas, G. P. (2011). Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets. International Review of Economics & Finance, 20(4), 717-732.
  • Tielmann, A., & Schiereck, D. (2017). Arising borders and the value of logistic companies: Evidence from the Brexit referendum in Great Britain. Finance Research Letters, 20, 22-28

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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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