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International influences on Irish stock returns

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Author(s)
Bredin, Donal 
Hyde, Stuart 
Uri
http://hdl.handle.net/10197/1164
Date Issued
March 2004
Date Available
10T13:26:40Z June 2009
Abstract
We examine the influence of US and UK macroeconomic and financial variables on Irish stock returns in a nonlinear framework. We allow for time variation via regime switching using a smooth transition regression (STR) model. Importantly we find that both US and UK stock returns are significant determinants of Irish returns. Further,US returns are an important transition variable. Additionally,we show that both the US industrial production growth and changesin short term interest rates play an important role in explaining Irish stock returns. A two transition variable model finds that US short term interest rate changes exert a secondary nonlinear influence on Irish returns. The significance of US variables is reflective of the influence of US investment in the Irish economy.
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-04-16
Copyright (Published Version)
2004, Centre for Financial Markets
Keywords
  • Smooth transition

  • Regime switching

Classification
G14
G15
Subject – LCSH
Stock exchanges--Ireland
Macroeconomics
Ireland--Foreign economic relations
Web versions
http://www.ucd.ie/bankingfinance/docs/wp/BREDIN2.pdf
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-sa/1.0/
Owning collection
Centre for Financial Markets Working Papers
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