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Impact Of Uncertainty On European Market Indices Quantile Regression Approach

Author

Listed:
  • Mária Bohdalová

    (Comenius University in Bratislava,Slovakia)

  • Michal Greguš

    (Comenius University in Bratislava,Slovakia)

Abstract

Contemporary Europe needs to make important collective economic and foreign-policy decisions. Many authors argue that uncertainty has influence on the markets’ behavior. Therefore, we have decided to analyze the impact of the uncertainty on the returns and the volatility of two major European market indices Germany (DAX) and the U.K. (FTSE 100) across selected quantiles. We present results for the time-period from January 3, 2000 to December 30, 2016. As influential factors, we consider the Economic policy uncertainty (EPU) indices for Europe, the United Kingdom, Brexit and low prices of the crude oil. In our paper, we have found an asymmetric dependence of the analyzed market indices on the selected factors. EPU Brexit had no or weak impact on the analyzed data. Our conclusion shows to investors how sensitive German and English markets are to the uncertainty in Europe.

Suggested Citation

  • Mária Bohdalová & Michal Greguš, 2017. "Impact Of Uncertainty On European Market Indices Quantile Regression Approach," CBU International Conference Proceedings, ISE Research Institute, vol. 5(0), pages 57-61, September.
    • Handle: RePEc:aad:iseicj:v:5:y:2017:i:0:p:57-61
    DOI: 10.12955/cbup.v5.902
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    Cited by:

    1. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).

    More about this item

    Keywords

    quantile regressionuncertainty; Brexit;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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