文章基本信息

标题：The Co-movement of the Irish, UK, and US Stock Markets, 1869–1925
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作者：Rebecca Stuart
期刊名称：Essays in Economic and Business History
印刷版ISSN：0896-226X
出版年度：2018
卷号：36
期号：1
语种：English
出版社：Economic & Business History Society
摘要：This paper studies the co-movements of the Irish stock markets with those in the UK and the US using monthly data between 1869 and 1925. The time-varying correlation of the markets are estimated in a tri-variate DCC-GARCH framework. Spillovers from the UK market to the Irish market are evident in increasing correlation during periods of crisis. The correlation between the Irish and UK markets is much higher than that between the US and either market, suggesting that there was an unusually strong relationship between the Irish and UK markets during the sample period.