Interdependence between emerging and major markets
Sharkasi, Adel, Ruskin, Heather J.ORCID: 0000-0001-7101-2242 and Crane, MartinORCID: 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.
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;