International influences on Irish stock returns

DSpace/Manakin Repository

Show simple item record Bredin, Donal Hyde, Stuart 2009-06-10T13:26:40Z 2009-06-10T13:26:40Z 2004, Centre for Financial Markets en 2004-03
dc.description.abstract 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) 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.extent 152942 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-04-16 en
dc.subject Smooth transition en
dc.subject Regime switching en
dc.subject.classification G14 en
dc.subject.classification G15 en
dc.subject.lcsh Stock exchanges--Ireland en
dc.subject.lcsh Macroeconomics en
dc.subject.lcsh Ireland--Foreign economic relations en
dc.title International influences on Irish stock returns en
dc.type Working Paper en
dc.internal.availability Full text available en
dc.internal.webversions en
dc.status Not peer reviewed en
dc.neeo.contributor Bredin|Donal|aut|
dc.neeo.contributor Hyde|Stuart|aut|

This item appears in the following Collection(s)

Show simple item record

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.

If you are a publisher or author and have copyright concerns for any item, please email and the item will be withdrawn immediately. The author or person responsible for depositing the article will be contacted within one business day.

Search Research Repository

Advanced Search