http://hdl.handle.net/2262/66496 2017-11-03T02:36:42Z 2017-11-03T02:36:42Z Cuthbertson, Keith Hayes, Simon Hyde, Stuart http://hdl.handle.net/2262/64731 2016-09-09T17:52:27Z 1998-01-01T00:00:00Z

The industry response to macroeconomic shocks in the UK, Germany and France and the convergence debate Cuthbertson, Keith; Hayes, Simon; Hyde, Stuart In this paper, we investigate the response of stock returns at an industry level to macroeconomic shocks for the UK, Germany and France. The betas between the stock returns and the macroeconomic factors provide a metric for the markets view of the homogeneity of industry response to the various macroeconomic shocks. We find that the market seems to focus on the interest rate and the exchange rate as key sources of important shocks and that shocks to real output growth have little or no direct effect on most industry returns in all three countries.

1998-01-01T00:00:00Z Conniffe, Denis http://hdl.handle.net/2262/64730 2016-09-09T17:52:26Z 1998-01-01T00:00:00Z

Testing a model parameter when another is unidentified under the null Conniffe, Denis Some standard test procedures, such as Score and Likelihood Ratio, replace nuisance parameters by their maximum likelihood estimates under the null hypothesis about the parameter of interest. In some models, however, a nuisance parameter is not identified under the null, so that these approaches need modification. By taking a mathematically tractable case, this paper illustrates the issues that arise and the solutions that have been proposed in the literature. The rival tests are compared in terms of power and robustness to misspecification.

1998-01-01T00:00:00Z Cotter, John http://hdl.handle.net/2262/64728 2016-09-09T19:26:32Z 1998-01-01T00:00:00Z

Testing distributional models for the Irish equity market Cotter, John This study outlines distributional properties and tests the applicability of different models for the ISEQ index and its major constituents. A Stability under Additions procedure is applied to raw, filtered and rescaled returns. The filtering process uses GARCH(1,1) and GARCH-M(1,1) specifications, removing the influence of temporal anomalies and non-synchronous trading effects. Rescaling involves the standardising of returns using the time varying models estimates of conditional variance. Results support the ordinary stable and mixtures of stables distributions. The lack of normality is affected by first and second moment dependence.

1998-01-01T00:00:00Z Gallagher, Liam A. Twomey, Cian E. http://hdl.handle.net/2262/64727 2016-09-09T17:52:25Z 1998-01-01T00:00:00Z

Identifying the source of mean and volatility spillovers in Irish equities: a multivariate GARCH analysis Gallagher, Liam A.; Twomey, Cian E. This paper, using a multivariate VAR-GARCH analysis, examines the role of the UK stock market in the price behaviour of the ten largest Irish stocks. We identify the source of mean and volatility spillovers in Irish stocks by investigating interrelationships among industry sector, the overall UK and Irish markets, and individual Irish stock price movements. Significant mean and volatility spillovers exist from the UK to the individual Irish stocks. The relative size and significance of these spillovers from the UK indicate asymmetries in their effects on Irish stocks. Recent evidence of return spillovers from the UK to Ireland is not supported for all individual Irish stocks.

1998-01-01T00:00:00Z