Browse DORAS
Browse Theses
Latest Additions
Creative Commons License
Except where otherwise noted, content on this site is licensed for use under a:

Interdependence between emerging and major markets

Sharkasi, Adel and Ruskin, Heather J. and Crane, Martin (2006) Interdependence between emerging and major markets. In: COMPSTAT 2004, 16th Symposium of IASC, 23-27 August 2004, Prague, Czech Republic.

Full text available as:

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader


In this paper, we investigate the price spillover effects among two developed markets, (the US and the UK ), and two developing markets, (Irish and Portuguese), using a new testing method suggested by Lee (2002). We find that there are interrelationships between any two of the Irish, the UK and Portuguese markets and that the co-movements between the emerging markets and the US are statistically significant but weak. We also found that the US market is slightly influenced by the UK but not vice versa.

Item Type:Conference or Workshop Item (Paper)
Event Type:Conference
Uncontrolled Keywords:simple regression; volatility and wavelet analysis;
Subjects:Mathematics > Mathematical analysis
DCU Faculties and Centres:DCU Faculties and Schools > Faculty of Engineering and Computing > School of Computing
Official URL:
Use License:This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License
ID Code:14
Deposited On:01 Nov 2006 by DORAS Administrator. Last Modified 29 Jan 2009 16:33

Download statistics

Archive Staff Only: edit this record