This paper investigates whether macroeconomic shocks, such as the UK's referendum decision to leave the European Union (“Brexit”), the 2008 Financial Crisis, the 1992 ERM Crisis (“Black Wednesday”), and the 1987 stock market crash (“Black Monday”), had a positive impact on portfolio risk diversification. We estimate weekly dynamic conditional correlations and then optimal sectoral portfolio allocations between 1973 and 2019. Our results show that correlations of equity returns increased as a consequence of economic integration among European countries from the mid-1980s until the late 2000s, and decreased in the United Kingdom after Black Wednesday and the Brexit referendum. We tested the existence of a correlation change-point on June 27, 2016 by applying Wied et al. (2012)'s [Econometric Theory, 28(3), 570–589] correlation structural break test, which we modified to account for dynamic conditional correlations. Application of this test confirms that the referendum date was a break-point in nearly all UK manufacturing industries. The failure of Lehman Brothers and the 1987 stock market crash were also identified as structural breaks in equity correlations. Moreover, our findings suggest that the Brexit vote may constitute a long-term trend reversal of the convergence of equity return correlations in European markets, akin to Black Wednesday, rather than a shock like the 1987 and 2008 financial crises, which merely intensified a historical upward trend in correlations of European equity returns.

中文翻译：

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从黑色星期三到英国脱欧：法国、德国、意大利、西班牙和英国的宏观经济冲击和股票回报的相关性

本文研究了英国脱欧公投（“Brexit”）、2008 年金融危机、1992 年 ERM 危机（“黑色星期三”）和 1987 年股市崩盘（“黑色星期一”）等宏观经济冲击是否对经济造成了影响。 ”），对投资组合风险分散化产生了积极影响。我们估计了 1973 年至 2019 年间的每周动态条件相关性，然后是最佳部门投资组合配置。我们的结果表明，从 20 世纪 80 年代中期到 2000 年代末，欧洲国家之间的经济一体化导致股票回报的相关性增加，而美国的股票回报的相关性下降黑色星期三和英国脱欧公投之后的王国。我们通过应用 Wied 等人在 2016 年 6 月 27 日测试了相关性变化点的存在性。(2012) 的 [计量经济学理论,28 (3), 570–589]相关性结构断裂测试，我们对其进行了修改以考虑动态条件相关性。该测试的应用证实，公投日期是几乎所有英国制造业的转折点。雷曼兄弟的倒闭和 1987 年股市崩盘也被认为是股票相关性的结构性断裂。此外，我们的研究结果表明，英国脱欧公投可能构成欧洲市场股票回报相关性趋同的长期趋势逆转，类似于黑色星期三，而不是像 1987 年和 2008 年金融危机那样的冲击，后者只是加剧了历史性的波动。欧洲股票回报相关性呈上升趋势。