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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, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis.
    2. Kirt Butler & Katsushi Okada, 2007. "Bivariate and higher-order terms in models of international equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 725-737.
    3. 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.
    4. Kirt Butler & Katsushi Okada, 2009. "The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 1-15.
    5. Chee Wooi Hooy & Hui Boon Tan & Annuar Md Nassir, 2004. "Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial Crisis," Asian Economic Journal, East Asian Economic Association, vol. 18(3), pages 261-276, September.

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