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An examination of return and volatility patterns on the Irish equity market

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  • Lakshman Alles
  • Louis Murray

Abstract

This study examines the pattern of returns and volatility on Irish equity markets, over a period when the markets were deregulated. GARCH and GARCH-IN-MEAN models are applied to data from three study periods. Volatility spillovers from the London stock market are considered, providing a test for evidence of a change in the degree of this influence. Within sample results show that GARCH models do provide a useful description of Irish equity returns. Furthermore, the inclusion of external volatility improves the model fit. There is no evidence that deregulation coincides with an alteration in the impact of external volatility. Forecast results indicate some evidence that the inclusion of external volatility spillovers does improve the forecast accuracy of GARCH models. Tests indicate that a GARCH-IN-MEAN specification does not suit Irish equity data.

Suggested Citation

  • Lakshman Alles & Louis Murray, 2001. "An examination of return and volatility patterns on the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 137-146.
  • Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:137-146
    DOI: 10.1080/096031001750071523
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    Cited by:

    1. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    2. Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 171-194.

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