Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/238895 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 11 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-8
Verlag: 
MDPI, Basel
Zusammenfassung: 
In this paper, we analyse the response of Japan's foreign exchange and stock markets to the outcomes of the Brexit referendum and the U.S. presidential election. We estimate the changes in returns of the daily exchange rates of the yen (JPY), the daily closing price index of the Nikkei and the dynamic conditional correlation (DCC) coefficients between the JPY and the Nikkei caused by both events. The empirical findings showed a significant change in the daily logarithmic returns of exchange rates of the JPY and the closing price index of the Nikkei, as well as their time-varying comovement (DCC) after both events. In general, the impact of the U.S. elections on financial markets and their dynamic correlation was stronger than the impact of the Brexit referendum.
Schlagwörter: 
Brexit
U.S. presidential election
Japan
financial markets
DCC-GARCH
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
742.91 kB





Publikationen in EconStor sind urheberrechtlich geschützt.