International Equity Market Integration in a Small Open Economy: Ireland January 1990 - December 2000
26 Pages Posted: 12 Jul 2007
Date Written: 2004
We examine the relationship between the Irish, German, UK and US equity markets. Our main finding is that the Irish equity market depends heavily on trading activity in the other markets but not vice versa. Significant return and volatility spillover effects occur in the direction of, but not from the Irish market. We also find that dual listing in the form of ADRs has an important role to play in these spillover effects. Our findings obtain throughout the sample, but are strongest for the period after the ERM crises and before the introduction of the euro.
Keywords: equity market linkages, return and volatility spillovers, dual trading.
JEL Classification: G1, G10
Suggested Citation: Suggested Citation