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Interdependence between emerging and major markets
Sharkasi, Adel; Ruskin, Heather J.; Crane, Martin
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.
Keyword(s): Mathematical analysis; simple regression; volatility and wavelet analysis
Publication Date:
2006
Type: Other
Peer-Reviewed: Unknown
Language(s): English
Institution: Dublin City University
Citation(s): Sharkasi, Adel, Ruskin, Heather J. ORCID: 0000-0001-7101-2242 <https://orcid.org/0000-0001-7101-2242> and Crane, Martin ORCID: 0000-0001-7598-3126 <https://orcid.org/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.
File Format(s): application/pdf
Related Link(s): http://doras.dcu.ie/14/1/paper_compstat.pdf,
http://www.compstat2004.cuni.cz/index.htm
First Indexed: 2009-11-05 02:00:11 Last Updated: 2019-02-09 06:05:10