Browsing Centre for Financial Markets Working Papers by Author "Hyde, Stuart"

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Browsing Centre for Financial Markets Working Papers by Author

Browsing Centre for Financial Markets Working Papers by Author "Hyde, Stuart"

Now showing items 1-6 of 6

Correlation dynamics between Asia-Pacifc, EU and US stock returns

Hyde, Stuart ; Bredin, Donal ; Nguyen, Nghia (University College Dublin. School of Business. Centre for Financial Markets, 2007)

This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, ...
European monetary policy surprises : the aggregate and sectoral stock market response

Bredin, Donal ; Hyde, Stuart ; O'Reilly, Gerard (University College Dublin. School of Business. Centre for Financial Markets, 2005-12)

In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on ...
International influences on Irish stock returns

Bredin, Donal ; Hyde, Stuart (University College Dublin. School of Business. Centre for Financial Markets, 2004-03)

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) ...
Investigating sources of unanticipated exposure in industry stock returns

Bredin, Donal ; Hyde, Stuart (University College Dublin. School of Business. Centre for Financial Markets, 2009)

This paper investigates the degree of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7. Our paper draws on the efficient market hypothesis and examines the extent of unexpected ...
Monetary policy surprises and international bond markets

Bredin, Donal ; Hyde, Stuart ; O'Reilly, Gerard (University College Dublin. School of Business. Centre for Financial Markets, 2006-10-04)

We examine the impact and possible pillovers effects of unanticipated monetary policy on international bond returns. First, we decompose international bond returns into news regarding future returns, real interest rates ...
UK Stock returns & the impact of domestic monetary policy shocks

Bredin, Donal ; Hyde, Stuart ; O'Reilly, Gerard (University College Dublin. School of Business. Centre for Financial Markets, 2005-10-21)

We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary ...