메뉴 건너뛰기




Volumn 21, Issue 1, 1998, Pages 85-104

The causes of volatility in a small, internationally integrated stock market: Ireland, July 1975–June 1994

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84992973318     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1998.tb00271.x     Document Type: Article
Times cited : (41)

References (19)
  • 1
    • 34347347600 scopus 로고
    • A systems approach to modelling the EMS exchange rate mechanism
    • Bewley, R. and C. Kearney, 1989, A systems approach to modelling the EMS exchange rate mechanism, Economic and Social Review 20, 111–20.
    • (1989) Economic and Social Review , vol.20 , pp. 111-120
    • Bewley, R.1    Kearney, C.2
  • 2
    • 0000264458 scopus 로고    scopus 로고
    • Cointegration in interest rate futures trading on the Sydney Futures Exchange
    • Bhar, R., 1996, Cointegration in interest rate futures trading on the Sydney Futures Exchange, Applied Financial Economics 6, 251–57.
    • (1996) Applied Financial Economics , vol.6 , pp. 251-257
    • Bhar, R.1
  • 5
    • 85036258669 scopus 로고
    • Distribution of the estimators for time series regressions with a unit root
    • Dickey, D. and W. A. Fuller, 1979, Distribution of the estimators for time series regressions with a unit root, Journal of the American Statistical Association 74, 427–31.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.1    Fuller, W.A.2
  • 6
    • 84977707061 scopus 로고
    • Stock returns, expected returns and real activity
    • Fama, E. F., 1990, Stock returns, expected returns and real activity, Journal of Finance 45, 1089–1108.
    • (1990) Journal of Finance , vol.45 , pp. 1089-1108
    • Fama, E.F.1
  • 8
    • 44049117018 scopus 로고
    • Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for the UK
    • Johansen, S. and K. Juselius, 1992, Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for the UK, Journal of Econometrics 53, 211–44.
    • (1992) Journal of Econometrics , vol.53 , pp. 211-244
    • Johansen, S.1    Juselius, K.2
  • 9
    • 0010667396 scopus 로고    scopus 로고
    • Volatility and risk in integrated financial systems: Measurement, transmission and policy implications
    • F. Bruni, D. E. Fair, R. O'Brien, eds., Kluwer Academic Press
    • Kearney, C., 1996a, Volatility and risk in integrated financial systems: Measurement, transmission and policy implications, in F. Bruni, D. E. Fair, and R. O'Brien, eds., Managing Risk in Volatile Financial Markets (Kluwer Academic Press), 87–116.
    • (1996) Managing Risk in Volatile Financial Markets , pp. 87-116
    • Kearney, C.1
  • 10
    • 85040419979 scopus 로고    scopus 로고
    • Seasonality and volatility in the Irish Stock Market
    • June
    • Kearney, C., 1996b, Seasonality and volatility in the Irish Stock Market, Irish Banking Review June, 27–44.
    • (1996) Irish Banking Review , pp. 27-44
    • Kearney, C.1
  • 11
    • 0000206457 scopus 로고
    • Asymmetric volatility transmission in international stock markets
    • Koutmos, G. and G. G. Booth, 1995, Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance 14, 747–62.
    • (1995) Journal of International Money and Finance , vol.14 , pp. 747-762
    • Koutmos, G.1    Booth, G.G.2
  • 12
    • 39549099944 scopus 로고    scopus 로고
    • Macrofactor conditional volatilities, time-varying risk premia and stock return behaviour
    • Koutoulas, G. and L. Kryzanowski, 1996, Macrofactor conditional volatilities, time-varying risk premia and stock return behaviour, Financial Review 31, 169–95.
    • (1996) Financial Review , vol.31 , pp. 169-195
    • Koutoulas, G.1    Kryzanowski, L.2
  • 13
    • 84994198928 scopus 로고
    • Dynamic relations between macroeconomic variables and the Japanese Stock Market: An application of a vector error correction model
    • Mukherjee, T. K. and A. Naka, 1995, Dynamic relations between macroeconomic variables and the Japanese Stock Market: An application of a vector error correction model, Journal of Financial Research 18, 223–37.
    • (1995) Journal of Financial Research , vol.18 , pp. 223-237
    • Mukherjee, T.K.1    Naka, A.2
  • 14
    • 0000799280 scopus 로고
    • The variability of the market factor of the New York Stock Exchange
    • Officer, R. R., 1973, The variability of the market factor of the New York Stock Exchange, Journal of Business 46, 434–53.
    • (1973) Journal of Business , vol.46 , pp. 434-453
    • Officer, R.R.1
  • 15
    • 0000308535 scopus 로고
    • Time series regressions with a unit root
    • Phillips, P. C. B., 1987, Time series regressions with a unit root, Econometrica 55, 277–301.
    • (1987) Econometrica , vol.55 , pp. 277-301
    • Phillips, P.C.B.1
  • 16
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regressions
    • Phillips, P. C. B. and P. Perron, 1988, Testing for a unit root in time series regressions, Biometrika 65, 335–46.
    • (1988) Biometrika , vol.65 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 17
    • 84993918928 scopus 로고
    • Econometric issues in macroeconomic models with generated regressors
    • Oxley, L. and M. McAleer, 1993, Econometric issues in macroeconomic models with generated regressors, Journal of Economic Surveys 7, 1–40.
    • (1993) Journal of Economic Surveys , vol.7 , pp. 1-40
    • Oxley, L.1    McAleer, M.2
  • 18
    • 38249000062 scopus 로고
    • A cointegration test of the impact of foreign exchange rates on US stock market prices
    • Ratner, M., 1993, A cointegration test of the impact of foreign exchange rates on US stock market prices, Global Finance Journal 4, 93–101.
    • (1993) Global Finance Journal , vol.4 , pp. 93-101
    • Ratner, M.1
  • 19
    • 84977707955 scopus 로고
    • Why does stock market volatility change over time?
    • Schwert, G. W., 1989, Why does stock market volatility change over time?, Journal of Finance 54, 1115–51.
    • (1989) Journal of Finance , vol.54 , pp. 1115-1151
    • Schwert, G.W.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.