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dc.contributor Tadle, Raul C. en_US
dc.contributor.advisor Zhou, Yan en_US
dc.contributor.author Hua, Cathy
dc.date.accessioned 2017-12-12T19:00:30Z
dc.date.available 2017-12-12T19:00:30Z
dc.date.issued 2017-12-12
dc.date.submitted 2017-12-01
dc.identifier.uri http://hdl.handle.net/10211.3/198840 en
dc.description Thesis (M.A., Economics)--California State University, Sacramento, 2017. en_US
dc.description.abstract The volatilities of financial asset markets are important components of asset allocation and portfolio management decisions made by financial market participants. For policy makers, market volatility influences the effectiveness of policies. This thesis then seeks to investigate the Brexit impact on volatility spillover between the UK and EU financial asset markets. The GARCH model is utilized to estimate the volatilities of currency and equity financial assets. Overall, in the Brexit period, I find higher levels of volatilities in both financial asset types. Higher spillover is detected in the equity assets but not in the currencies in the Brexit period when compared to the pre-Brexit period. Additionally, while results indicate bi-directional spillover, the EU is the greater recipient of volatility spillover from the UK in both periods. As the UK and EU exit negotiations continue, policy makers may want to be aware that negotiation developments may be potential sources of market volatility. The UK may advocate maintaining access to the EU single market for the potential benefits of domestic economic growth and effective policy impact transmission to their real economy if alternatives leave them with too much concentration in or pose higher spillover risk. The EU may be incentivized to do the opposite. If negative economic shocks ripple from the UK, many EU member states may experience great economic strain in the financial markets, as the EU is the larger recipient of UK volatility spillover. en_US
dc.description.sponsorship Economics en_US
dc.language.iso en_US en_US
dc.subject Garch en_US
dc.subject Brexit en_US
dc.subject Equity en_US
dc.subject Currency en_US
dc.title Volatility spillover in financial assets: the Brexit impact on the United Kingdom and European Union en_US
dc.type Thesis en_US

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