Sharkasi, Adel, Ruskin, Heather J. 
ORCID: 0000-0001-7101-2242 and Crane, Martin ORCID: 0000-0001-7598-3126
(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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Abstract
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 |
| Refereed: | Yes |
| 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: | http://www.compstat2004.cuni.cz/index.htm |
| 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 03 Oct 2018 11:46 |
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