IMPACT OF UNCERTAINTY ON EUROPEAN MARKET INDICES QUANTILE REGRESSION APPROACH

Mária Bohdalová, Michal Greguš

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.

Keywords


quantile regression, uncertainty, Brexit

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References


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DOI: http://dx.doi.org/10.12955/cbup.v5.902

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