Brexit and Its Impact on EU Financial Markets
研究了英国脱欧事件如何加剧欧盟国家间的金融波动传导，发现法国是主要波动输出国，而英国在特蕾莎·梅执政初期也是波动输出者，爱尔兰、葡萄牙和西班牙的小型股市受影响最大。
ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold. We find that Brexit‐related events have contributed towards increased volatility transmission within the EU. Country‐wise investigations show that throughout the Brexit timespan, France is the key volatility transmitter within the Union. By contrast, the UK is evidenced as a volatility transmitter during the early stages of Brexit negotiations, under Theresa May as the prime minister. Out of the smallest stock markets of the block, Ireland, Portugal and Spain have been among those particularly affected.