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THE CAUSES OF VOLATILITY IN A SMALL, INTERNATIONALLY INTEGRATED STOCK MARKET: IRELAND, JULY 1975–JUNE 1994
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AbstractI 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.
Title: THE CAUSES OF VOLATILITY IN A SMALL, INTERNATIONALLY INTEGRATED STOCK MARKET: IRELAND, JULY 1975–JUNE 1994
Description:
AbstractI 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.
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