Brexit and Its Impact on the US Stock Market
文献类型：期刊论文
| 作者 | Qiao Kenan1,2; Liu Zhengyang1,3; Huang Bai4; Sun Yuying1,2; Wang Shouyang1,2,3 |
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2021-01-12 |
| 页码 | 19 |
| 关键词 | Brexit interval time series intra-day volatility S&P500 index |
| ISSN号 | 1009-6124 |
| DOI | 10.1007/s11424-020-9174-0 |
| 英文摘要 | 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. |
| 资助项目 | National Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71701199] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[72073126] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[201601] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000608140200021 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/58040]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Sun Yuying |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 4.Cent Univ Finance & Econ, Sch Stat & Math, Beijing 100081, Peoples R China |
| 推荐引用方式 GB/T 7714 | Qiao Kenan,Liu Zhengyang,Huang Bai,et al. Brexit and Its Impact on the US Stock Market[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2021:19. |
| APA | Qiao Kenan,Liu Zhengyang,Huang Bai,Sun Yuying,&Wang Shouyang.(2021).Brexit and Its Impact on the US Stock Market.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,19. |
| MLA | Qiao Kenan,et al."Brexit and Its Impact on the US Stock Market".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2021):19. |
入库方式： OAI收割
来源：数学与系统科学研究院
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