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Co-movements in stock market returns, Ireland and London 1869–1929

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  • Stuart, Rebecca

Abstract

This article studies the relationship between the Irish and London stock markets over the period 1869 to 1929, using monthly data on capital gains. A bivariate GARCH model shows that there were significant volatility spillovers from the London to the Irish market, but not vice versa. This suggests that shocks originating in London were transmitted to Ireland, but that the reverse did not occur. Furthermore, the time-varying correlation indicates that the co-movement between London and Ireland declined during the Irish independence struggle and the establishment of the Irish Free State. The correlation appears to stabilise in the late 1920s.

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  • Stuart, Rebecca, 2017. "Co-movements in stock market returns, Ireland and London 1869–1929," Financial History Review, Cambridge University Press, vol. 24(2), pages 167-184, August.
    • Handle: RePEc:cup:fihrev:v:24:y:2017:i:02:p:167-184_00
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    Cited by:

    1. Rebecca Stuart, 2022. "Stock Return Predictability before the First World War," IRENE Working Papers 22-02, IRENE Institute of Economic Research.
    2. Rebecca Stuart, 2024. "Measuring stock market integration during the Gold Standard," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 18(1), pages 191-220, January.

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