The Causes of Volatility in a Small Internationally Integrated Stock Market: Ireland, July 1975 - June 1994

28 Pages Posted: 6 Jan 2011

See all articles by Colm Kearney

Colm Kearney

Monash University - Monash Business School

Date Written: June 30, 1997

Abstract

We examine the causes of conditional volatility in a small, internationally integrated stock market using the Irish stock market as an example. We relate Irish stock market conditional volatility to the conditional volatility of the British stock market and business cycle variables from July 1975 to May 1994. Exchange rate volatility is found to be a more significant determinant of volatility in a small internationally integrated stock market than is interest rate volatility. It follows that a potential benefit of membership of the European monetary system may be reduced stock market volatility in the smaller member countries.

Keywords: conditional volatility, Ireland, stock market integration, cointegration

Suggested Citation

Kearney, Colm, The Causes of Volatility in a Small Internationally Integrated Stock Market: Ireland, July 1975 - June 1994 (June 30, 1997). Journal of Financial Research, Vol. 1, No. 21, 1998, Available at SSRN: https://ssrn.com/abstract=1734766

Colm Kearney (Contact Author)

Monash University - Monash Business School ( email )

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Melbourne, Victoria 3168
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+353399031021 (Phone)

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