Asian Journal of Management

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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
     

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

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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