Foreign shocks and the volatility of the ISEQ

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dc.contributor.author Bredin, Donal
dc.contributor.author Gavin, Caroline
dc.contributor.author O'Reilly, Gerard
dc.date.accessioned 2009-06-15T13:43:59Z
dc.date.available 2009-06-15T13:43:59Z
dc.date.copyright 2004, Centre for Financial Markets en
dc.date.issued 2004-05-30
dc.identifier.uri http://hdl.handle.net/10197/1182
dc.description.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. en
dc.format.extent 159314 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-04-05 en
dc.subject.lcsh Irish Stock Exchange en
dc.subject.lcsh Ireland--Foreign economic relations--United States en
dc.subject.lcsh United States--Foreign economic relations--Ireland en
dc.title Foreign shocks and the volatility of the ISEQ en
dc.type Working Paper en
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/BREDIN3.pdf en
dc.status Not peer reviewed en
dc.neeo.contributor Bredin|Donal|aut|
dc.neeo.contributor Gavin|Caroline|aut|
dc.neeo.contributor O'Reilly|Gerard|aut|


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