A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes

The paper features an examination of the link between behaviour FTSE 100 and S&P500 Indexes in both autoregressive distributed lag ARDL, plus a nonlinear NARDL framework. attraction is that it represents simplest method available modelling combined short- long-run asymmetries. bounds testing framework adopted means can be applied to stationary non-stationary time series vectors, or combinations both. data comprise daily adjusted price series, commencing April 2009 terminating March 2021, corresponding Index adjusted-price obtained from Yahoo Finance. period includes all gyrations caused by Brexit vote UK, beginning with leave 2016 culminating actual agreement withdraw January 2020. It was then followed impact global spread COVID-19 results analysis suggest movements contemporaneous levels have very significant effects on Index. They also negative larger impacts than do positive levels, long-term multiplier take about 10 days effect. These are supported quantile regression analysis. A key result weak form market efficiency does not apply second period.