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The Causes Of Volatility In A Small, Internationally Integrated Stock Market: Ireland, July 1975–June 1994

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  • Colm Kearney

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.

Suggested Citation

  • Colm Kearney, 1998. "The Causes Of Volatility In A Small, Internationally Integrated Stock Market: Ireland, July 1975–June 1994," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(1), pages 85-104, March.
  • Handle: RePEc:bla:jfnres:v:21:y:1998:i:1:p:85-104
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    File URL: https://doi.org/10.1111/j.1475-6803.1998.tb00271.x
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    Cited by:

    1. 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).
    2. 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.
    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. Saifuzzaman Ibrahim, 2011. "The Progress of Financial Market Integration in East Asia," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 458-470, December.
    5. 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.
    6. Cotter, John, 2004. "International equity market integration in a small open economy: Ireland January 1990-December 2000," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 669-685.
    7. Amir Kia, 2001. "Forward-looking Agents and Macroeconomic Determinants of the Equity Price in a Small Open Economy," Emory Economics 0103, Department of Economics, Emory University (Atlanta).
    8. Vithessonthi, Chaiporn & Tongurai, Jittima, 2014. "The spillover effects of unremunerated reserve requirements: Evidence from Thailand," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 338-351.
    9. Amir Kia, 2001. "Rational Speculators and Equity Volatility as a Measure of Ex Ante Risk," Emory Economics 0102, Department of Economics, Emory University (Atlanta).
    10. 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.
    11. repec:eee:phsmap:v:490:y:2018:i:c:p:1211-1227 is not listed on IDEAS

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