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International equity market integration in a small open economy: Ireland January 1990-December 2000

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  • Cotter, John

Abstract

We 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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  • 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.
    • Handle: RePEc:eee:finana:v:13:y:2004:i:5:p:669-685
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    Cited by:

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    3. 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.
    4. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
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    7. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G1 - Financial Economics - - General Financial Markets

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