The aim of this paper is to investigate the impact of Brexit on the dependence between European financial markets. We use the Diebold and Yilmaz (2009, 2012) approach to better map the relationship between the three main European markets and we propose an Optimal portfolio weighting to gain insights into the portfolio design dynamics in the period between 2013 and 2019, in particular any changes due to uncertainty surrounding Brexit. First, the findings show that between September 2015 and September 2016, the high level of volatility and spillover confirms the strong degree of market integration, with uncertainty surrounding the referendum outcome having a clear impact on the three main European markets. Second, the direction of spillover in the pre-Brexit period was from the UK market to the French and German markets in anticipation of uncertainty regarding the outcome of the referendum and the period immediately following it. Third, only the conditional correlation between the pair (CAC40–FTSE100) is characterized by an asymmetric effect.

中文翻译：

---

英国脱欧对欧洲市场联动的影响

本文的目的是调查英国退欧对欧洲金融市场之间依赖的影响。我们使用 Diebold 和 Yilmaz (2009, 2012) 方法来更好地绘制三个主要欧洲市场之间的关系，我们提出了一个最佳投资组合权重，以深入了解 2013 年至 2019 年期间的投资组合设计动态，特别是任何变化由于英国退欧的不确定性。首先，调查结果显示，在 2015 年 9 月至 2016 年 9 月期间，高水平的波动和溢出证实了市场一体化程度很高，围绕公投结果的不确定性对欧洲三大主要市场产生了明显影响。第二，英国脱欧前的溢出方向是从英国市场到法国和德国市场，因为预期公投结果和紧随其后的时期存在不确定性。第三，只有这对（CAC40-FTSE100）之间的条件相关性具有不对称效应。