Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?

This paper studies the effects of the June 2016 United Kingdom European Union membership referendum and the subsequently triggered article 50 on 43 major developed and emerging stock markets. Specifically, on a bivariate basis, we use dependence dynamics through copulas with regime switching of Silva Filho et al. (2012) using intraday data returns to identify contagion among stock markets. The empirical results add significant evidence to the...