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Brexit and Its Impact on the US Stock Market

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Abstract

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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Author information

Authors and Affiliations

  1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China

    Kenan Qiao, Zhengyang Liu, Yuying Sun & Shouyang Wang

  2. Center for Forecasting Science, Chinese Academy of Sciences, Beijing, 100190, China

    Kenan Qiao, Yuying Sun & Shouyang Wang

  3. School of Economics and Management, University of Chinese Academy of Sciences, Beijing, 100190, China

    Zhengyang Liu & Shouyang Wang

  4. School of Statistics and Mathematics, Central University of Finance and Economics, Beijing, 100081, China

    Bai Huang

Authors
  1. Kenan Qiao
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  2. Zhengyang Liu
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  3. Bai Huang
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  4. Yuying Sun
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  5. Shouyang Wang
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Corresponding author

Correspondence to Yuying Sun.

Additional information

This paper was partially supported by the National Natural Science Foundation of China under Grant Nos. 71703156, 71701199, 71988101, 72073126, and Fujian Provincial Key Laboratory of Statistics (Xiamen University) under Grant No. 201601.

This paper was recommended for publication by Editor YANG Cuihong.

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Qiao, K., Liu, Z., Huang, B. et al. Brexit and Its Impact on the US Stock Market. J Syst Sci Complex 34, 1044–1062 (2021). https://doi.org/10.1007/s11424-020-9174-0

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  • DOI: https://doi.org/10.1007/s11424-020-9174-0

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