Foreign shocks and the volatility of the ISEQ

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Title: Foreign shocks and the volatility of the ISEQ
Authors: Bredin, Donal
Gavin, Caroline
O'Reilly, Gerard
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Date: 30-May-2004
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/Report no.: 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
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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Status of Item: Not peer reviewed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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