Brexit Decision Effects on European Derivatives Markets: A Sectoral Analysis


This paper examines the Brexit’s referendum impacts on quotes of different sectors in the European derivatives market by employing a Vector Autoregression (VAR) approach for detecting bi-directional effects. During nine months after the affirmative decision about the United Kingdom (UK) leaving the European Union (EU), the primary importance British FTSE100 index is found to have influenced the prices of the highly representative of European futures markets Eurostoxx600 index and its components in a positive and statistically significant manner. Interestingly, Automobiles & Parts, Banks, Basic Resources, Construction & Materials, Oil & Gas, as well as Industrial Goods & Services are the futures sectors mostly affected by volatility in the British stock market. We argue that the Brexit decision effects mainly act through main secondary production sectors of the European economy, whereas reverse effects rely most on financial and banking services, telecommunications, as well as industrial and automobile goods.

Volume :- No.11 (2017)

Issue No :- 1 (2017)

Pages :- 45-58

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