Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

Analysis of The Effect of BREXIT on the Stock Indices of US, UK and India:An Intervention ARIMA Model


Affiliations
1 Commerce and Management, Kristu Jayanti College (Autonomous), Bangalore, India
2 Department of Statistics, Kristu Jayanti College (Autonomous), Bangalore, India
     

   Subscribe/Renew Journal


The study aims to demonstrate the immediate effect of BREXIT on the stock indices of three countries- US, UK and India using Intervention ARIMA time series analysis. BREXIT was a significant event in the financial world. It had great impact in few economies. BREXIT refers to exit of Britain from European Union on June 23rd 2016.Three nations (US, UK and India) are chosen in the present study to find the immediate effect of BREXIT on their stock indices. The data of the countries stock indices are collected for a period of 17 months, one year prior to BREXIT and 5 months post are considered for the analysis. The results derived indicate that event had an immediate effect only on UK index while the others did not show an immediate significant change. This study can be further extended to find the fluctuation on the stock indices in the long run.

Keywords

BREXIT, Stock Indices, ARIMA, Intervention Analysis.
Subscription Login to verify subscription
User
Notifications
Font Size


  • Tsay R S. Outliers, Level Shifts, and Variance Changes in Time Series; Journal of Forecasting, 1988; Vol. 7, 1-20.
  • Sanjeev Sridharan, Suncica Vujic and Siem Jan Koopman. Intervention Time series analysis of crime rates. Tinbergen Institute Discussion Paper. 2003; TI - 040/4.
  • Roy C. Pet al. An ARIMA-Intervention Analysis Model for the Financial Crisis in China’s Manufacturing Industry; International Journal of Engineering Business Management. 2009, Vol. 1, No. 1; pp. 15-18
  • Lisa Bianchi et al. improving forecasting for telemarketing centers by ARIMA modeling with intervention; International Journal of Forecasting. 1998; Volume 14, Issue 4, 1 December, 497–504
  • Jyothi Unnikrishnan, Kodakanallur Krishnaswamy Suresh. Modelling the Impact of Government Policies on Import on Domestic Price of Indian Gold Using ARIMA Intervention Method. International Journal of Mathematics and Mathematical Sciences. 2016, Article ID 6382926, 6 pages
  • Jon Cauley and Eric Iksoon Im. Intervention Policy Analysis of Skyjackings and Other Terrorist Incidents. The American Economic Review.1988; Vol. 78, No. 2, pp. 27-31.
  • FICCI: BREXIT- Views and suggestions from India Inc. 2016. www.ficci.in.
  • A report by Capital Economics for Woodford Investment Management. 2016; https://woodfordfunds.com
  • D. Gujarati, D. C. Porter, and S. Gunasekhar, Basic Econometrics, Mc Graw Hills Companies Publishers, 2012; 5th edition
  • Box and Tiao. Intervention Analysis with Application to Economic and Environmental Problems. Journal of American Statistical Association. 1975;70(1):70-79

Abstract Views: 39

PDF Views: 0




  • Analysis of The Effect of BREXIT on the Stock Indices of US, UK and India:An Intervention ARIMA Model

Abstract Views: 39  |  PDF Views: 0

Authors

Aloysius Edward
Commerce and Management, Kristu Jayanti College (Autonomous), Bangalore, India
Jyothi Manoj
Department of Statistics, Kristu Jayanti College (Autonomous), Bangalore, India

Abstract


The study aims to demonstrate the immediate effect of BREXIT on the stock indices of three countries- US, UK and India using Intervention ARIMA time series analysis. BREXIT was a significant event in the financial world. It had great impact in few economies. BREXIT refers to exit of Britain from European Union on June 23rd 2016.Three nations (US, UK and India) are chosen in the present study to find the immediate effect of BREXIT on their stock indices. The data of the countries stock indices are collected for a period of 17 months, one year prior to BREXIT and 5 months post are considered for the analysis. The results derived indicate that event had an immediate effect only on UK index while the others did not show an immediate significant change. This study can be further extended to find the fluctuation on the stock indices in the long run.

Keywords


BREXIT, Stock Indices, ARIMA, Intervention Analysis.

References