Munich Personal RePEc Archive

Brexit concerns, UK and European equities: A lose-lose scenario?

Bouoiyour, Jamal and Selmi, Refk (2016): Brexit concerns, UK and European equities: A lose-lose scenario?

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We assess whether the attention given to “Brexit” (via Google Trends and Twitter) exerts a significant influence on UK, German and French stock markets. While a large body of work has proposed models for the conditional mean and variance of equity returns, this research is undertaken towards modeling the full return distribution (quantile regression approach), and decomposing the covariance into different spectral components (frequency domain causality test). Despite an acute consciousness that it is difficult to quantify the costs of Brexit, on the basis of this article’ outcomes, we’re being told little of what happens with the growing support for Brexit. Whatever the methods and the internet proxies used, this study inconvertibly reveals that the severeness of Brexit’ impact was not uniform across the investigated equities. Germany and France (in this order) suffered heavier losses if the British exit from Europe occurs, while UK experienced puny effect.

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