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.
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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
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