Work

Identifying the Source of Mean and Volatility Spillovers in Irish Equities: A Multivariate GARCH Analysis*

Year: 1998

Type: article

Abstract: This paper, using a multivariate VAR-GARCH analysis, examines the role of the UK stock\nmarket in the price behaviour of the ten largest Irish stocks. We identify the source of mean and volatility spillovers in Irish stocks by investigating interrelationships among industry sector, the overall UK and Irish markets, and individual Irish stock price movements. Significant mean and volatility spillovers exist from the UK to the individual Irish stocks. The relative size and significance of these spillovers from the UK indicate asymmetries in their effects on Irish stocks. Recent evidence of return spillovers from the UK to Ireland is not supported for all individual Irish stocks.

Source: Arrow@dit (Dublin Institute of Technology)

Authors: Liam A. Gallagher, Cian Twomey

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W632802840

FWCI:

Cites: 24

Cited by: 35

Related to: 10