This paper firstly analyzes the Brexit’s impact on the US stock market using a novel interval methodology. The interval-valued dummy variables are proposed to measure the direction and magnitudes of the changes in the inter-day trend and the intra-day volatility of S&P500 returns simultaneously. It is found that both the trend and the volatility of S&P500 returns increased before the Brexit. Besides, the Brexit negatively affected S&P500 returns’ trend in the short term after the event, while its impact on market volatility was positive, which slowly decayed across time. Furthermore, a new interesting finding is that there are both short-term momentum effects (i.e., positive autocorrelation of trends) and volatility clustering in stock markets.

本文首先使用一种新颖的区间方法来分析英国退欧对美国股票市场的影响。建议使用区间值虚拟变量来测量S＆P500指数日间趋势和日内波动率变化的方向和幅度。人们发现，在英国脱欧之前，标普500指数回报的趋势和波动性都增加了。此外，英国脱欧事件发生后短期内对标普500指数回报率的趋势产生了负面影响，而对市场波动的影响则为正值，并随时间缓慢衰减。此外，一个有趣的新发现是，股票市场同时存在短期动量效应（即趋势的正自相关）和波动性聚集。