International influences on Irish stock returns

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Title: International influences on Irish stock returns
Authors: Bredin, Donal
Hyde, Stuart
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Date: Mar-2004
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
Copyright (published version): 2004, Centre for Financial Markets
Keywords: Smooth transitionRegime switching
Subject LCSH: Stock exchanges--Ireland
Ireland--Foreign economic relations
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Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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