Interdependencies among the Irish, British and German stock markets
Citation:
Gallagher, Liam. 'Interdependencies among the Irish, British and German stock markets'. - Economic & Social Review, Vol. 26, No. 2, January, 1995, pp. 131-147. Dublin: Economic & Social Research InstituteDownload Item:
Abstract:
Interdependencies between the Irish stock market and two other stock markets, namely the United Kingdom and Germany, are assessed. The indices used are the ISEQ, the
FTSE-100, and the FAZ. The application of cointegration techniques suggest that a long-run relationship does not exist between either the stock markets' price levels or their rates of return. There is however, a significant increase in the correlation between short-run returns across the markets after the 1987 stock market crash. Greater stock market integration has coincided with greater financial and economic integration. No lead-lag relationships are found for the pre-crash period in applying Granger causality tests. However, important uni-directional causality is found for the post-crash period. Indicating that the Irish stock market is inefficient. Significant contemporaneous causality is detected for the period of the stock market crash.
Author: Gallagher, Liam
Publisher:
Economic & Social StudiesType of material:
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Full text availableKeywords:
Economic interdependence, Stock markets, Ireland, United Kingdom, GermanyISSN:
0012-9984Metadata
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