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The Causes of Volatility in a Small, Internationally Integrated Stock Market: Ireland, July 1975-June 1994

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Author Info

  • Kearney, Colm

Abstract

I examine the causes of conditional volatility in a small, internationally integrated stock market using the Irish stock market as an example. I relate Irish stock market conditional volatility to British stock market conditional volatility and business cycle variables from July 1975 to May 1994. Exchange rate volatility is a more significant determinant of volatility in a small, internationally integrated stock market than is interest rate volatility. It follows that a potential benefit of membership in the European Monetary System may be reduced stock market volatility in the smaller member countries.

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Bibliographic Info

Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 21 (1998)
Issue (Month): 1 (Spring)
Pages: 85-104

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Handle: RePEc:bla:jfnres:v:21:y:1998:i:1:p:85-104

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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Web page: http://www.southwesternfinance.org/
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Cited by:
  1. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
  2. Saifuzzaman Ibrahim, 2011. "The Progress of Financial Market Integration in East Asia," Transition Studies Review, Springer, vol. 18(2), pages 458-470, December.
  3. Berrill, Jenny, 2010. "Firm-level analysis of the international diversification of small integrated stock markets: Ireland 1999-2007," Research in International Business and Finance, Elsevier, vol. 24(2), pages 172-189, June.
  4. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
  5. Hooi-Hooi Lean & Marwan Halim, 2005. "Bivariate Causality between Exchange Rates and Stock Prices on Major Asian Countries," Monash Economics Working Papers 10/05, Monash University, Department of Economics.
  6. Seshaiah, S.V. & Behera, C., 2009. "Stock Prices And Its Relation With Crude Oil Prices And Exchange Rates in India," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
  7. Cotter, John, 2004. "International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000," MPRA Paper 3538, University Library of Munich, Germany.

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