The Causes of Volatility in a Small, Internationally Integrated Stock Market: Ireland, July 1975-June 1994
AbstractI 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 InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 21 (1998)
Issue (Month): 1 (Spring)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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