International equity market integration in a small open economy: Ireland January 1990-December 2000
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 13 (2004)
Issue (Month): 5 ()
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Web page: http://www.elsevier.com/locate/inca/620166
Other versions of this item:
- 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.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G1 - Financial Economics - - General Financial Markets
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