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Co-movements in stock market returns, Ireland and London 1869–1929

  • Rebecca Stuart (a1)
Abstract

This article studies the relationship between the Irish and London stock markets over the period 1869 to 1929, using monthly data on capital gains. A bivariate GARCH model shows that there were significant volatility spillovers from the London to the Irish market, but not vice versa. This suggests that shocks originating in London were transmitted to Ireland, but that the reverse did not occur. Furthermore, the time-varying correlation indicates that the co-movement between London and Ireland declined during the Irish independence struggle and the establishment of the Irish Free State. The correlation appears to stabilise in the late 1920s.

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Copyright
Corresponding author
R. Stuart, Monetary Policy Division, Central Bank of Ireland; email: rebecca.stuart@centralbank.ie.
Footnotes
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The views expressed in this article are solely my own. I thank Gabriel Fagan, Stefan Gerlach, Richard Grossman, Morgan Kelly, Peter Kugler, Cormac Ó Gráda, Kevin O'Rourke, John Turner, participants at the Economic and Social History Society of Ireland's Annual Conference, November 2014, and at the Central Bank of Ireland Economic History Workshop 2015, and three anonymous referees for helpful comments. I also thank Ronan Lyons for kindly providing data for Ireland, Ryland Thomas for a very useful discussion of London data, and Gareth Campbell for kindly compiling a series from the database of Campbell and Rogers (2017).

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Financial History Review
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