In this study, the researchers observed the impact of Brexit on
the Pound and its spillover to other European countries, likely to
be affected during that period. The intraday high-frequency hourly return data of
chief monies as Great Britain Pound (GBP), Euro (EUR), Danish Krone (DDK),
Hungarian Forint (HUF), Turkish Lira (TRY), Swiss Franc (CHF), Swedish Krona
(SEK), and Polish Zloty (PLN), for two months and one day, was utilized. The
Intraday volatility spillover index approach and a further rolling window
technique applied. The analysis of high-frequency data revealed that four
currency pairs as TRY/USD, DKK/USD, PLN/USD, and HUF/USD, are highly
volatile currencies. However, three pair currencies as GBP/USD, EUR/USD, and
SEK/USD, are comparatively lesser volatile. The results and managerial
implications reflect preparedness dynamics and proactiveness for a new
continuum project that regional transmission effects of volatility spread from one
currency to other currencies in the EU during Brexit.
1-Javed Satti Faculty of Management Sciences, International Islamic University, Islamabad, Pakistan. 2-Zaheer Abbas Assistant Professor/Head, Department of Accounting & Finance, Faculty of Management Sciences, International Islamic University Islamabad, Pakistan.