International influences on Irish stock returns

DC FieldValueLanguage
dc.contributor.authorBredin, Donal-
dc.contributor.authorHyde, Stuart-
dc.date.accessioned2009-06-10T13:26:40Z-
dc.date.available2009-06-10T13:26:40Z-
dc.date.copyright2004, Centre for Financial Marketsen
dc.date.issued2004-03-
dc.identifier.urihttp://hdl.handle.net/10197/1164-
dc.description.abstractWe 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.en
dc.format.extent152942 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoenen
dc.publisherUniversity College Dublin. School of Business. Centre for Financial Marketsen
dc.relation.ispartofseriesCentre for Financial Markets working paper seriesen
dc.relation.ispartofseriesWP-04-16en
dc.subjectSmooth transitionen
dc.subjectRegime switchingen
dc.subject.classificationG14en
dc.subject.classificationG15en
dc.subject.lcshStock exchanges--Irelanden
dc.subject.lcshMacroeconomicsen
dc.subject.lcshIreland--Foreign economic relationsen
dc.titleInternational influences on Irish stock returnsen
dc.typeWorking Paperen
dc.internal.availabilityFull text availableen
dc.internal.webversionshttp://www.ucd.ie/bankingfinance/docs/wp/BREDIN2.pdf-
dc.statusNot peer revieweden
dc.neeo.contributorBredin|Donal|aut|-
dc.neeo.contributorHyde|Stuart|aut|-
item.grantfulltextopen-
item.fulltextWith Fulltext-
Appears in Collections:Centre for Financial Markets Working Papers
Files in This Item:
File Description SizeFormat 
WP-04-16.pdf149.36 kBAdobe PDFDownload
Show simple item record

Page view(s) 20

119
checked on May 25, 2018

Download(s) 50

95
checked on May 25, 2018

Google ScholarTM

Check


This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.