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Foreign shocks and the volatility of the ISEQ
Author(s)
Date Issued
2004-05-30
Date Available
2009-06-15T13:43:59Z
Abstract
We investigate the influence of foreign monetary policy decisions on the volatility
of the Irish stock market. Specifically, we examine the influence of US monetary policy announcements on the ISEQ. We find evidence of the so called calm before the storm i.e. there appears to be a decline in volatility on the day prior to an FOMC meeting and a subsequent increase in volatility after
the results of such meetings are made known. We also find evidence to suggest
that ISEQ volatility is influenced by surprise changes in US monetary policy.
Moreover, US monetary surprises appear to affect Irish stock return volatility
asymmetrically. In particular, higher than expected US federal funds, tend to increase Irish stock return volatility. This paper represents an important step
in addressing the issues of spillover identification between the US and the Irish
stock market.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-04-05
Copyright (Published Version)
2004, Centre for Financial Markets
Subject – LCSH
Irish Stock Exchange
Ireland--Foreign economic relations--United States
United States--Foreign economic relations--Ireland
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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