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  • 出版日期:2021-06-25 发布日期:2021-03-11

. [J]. 系统科学与复杂性, 2021, 34(3): 1044-1062.

QIAO Kenan · LIU Zhengyang · HUANG Bai · SUN Yuying · WANG Shouyang. Brexit and Its Impact on the US Stock Market[J]. Journal of Systems Science and Complexity, 2021, 34(3): 1044-1062.

Brexit and Its Impact on the US Stock Market

QIAO Kenan · LIU Zhengyang · HUANG Bai · SUN Yuying · WANG Shouyang   

  1. QIAO Kenan
    Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China; Center for Forecasting Science, Chinese Academy of Sciences, Beijing 100190, China.
    LIU Zhengyang
    Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China; School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China.
    HUANG Bai
    School of Statistics and Mathematics, Central University of Finance and Economics, Beijing 100081, China.
    SUN Yuying (Corresponding author )
    Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China; Center for Forecasting Science, Chinese Academy of Sciences, Beijing 100190, China. Email: sunyuying@amss.ac.cn.
    WANG Shouyang
    Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China; Center for Forecasting Science, Chinese Academy of Sciences, Beijing 100190, China; School of Economics and Management,University of Chinese Academy of Sciences, Beijing 100190, China.
  • Online:2021-06-25 Published:2021-03-11

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.

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