Cotter, John (2004): International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000. Published in: International Review of Financial Analysis , Vol. 13, (2004): pp. 669-685.
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We examine the relationship between the Irish, German, UK and US equity markets. Our main finding is that the Irish equity market depends heavily on trading activity in the other markets but not vice versa. Significant return and volatility spillover effects occur in the direction of, but not from the Irish market. We also find that dual listing in the form of ADRs has an important role to play in these spillover effects. Our findings obtain throughout the sample, but are strongest for the period after the ERM crises and before the introduction of the euro.
|Item Type:||MPRA Paper|
|Original Title:||International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G1 - General Financial Markets
|Depositing User:||John Cotter|
|Date Deposited:||13. Jun 2007|
|Last Modified:||12. Feb 2013 11:33|
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