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| Author: | Bredin, D. Hyde, S. |
| Title: | Regime change and the role of international markets on the stock returns of small open economies |
| Journal: | European Financial Management
2008 : MAR, VOL. 14:2, p. 315-346 |
| Index terms: | financial markets stock returns securities prices United Kingdom Germany USA Europe Irish Republic Denmark |
| Freeterms: | open economies models |
| Language: | eng |
| Abstract: | This paper explores the influence of U.S., U.K. and German macroeconomic and financial variables on the stock returns of two relatively small open European economies of Ireland and Denmark. Using a smooth transition regression (STR) model, it is found that U.S. (global) and U.K. and German (regional) stock returns are significant determinants of returns in both markets. Moreover, global information represented by oil and U.S. asset price movements drive changes btw. states in each market. Remarkably, the role of country-specific domestic variables is typically limited to a single state whereas global and regional variables diffuse in all states. |
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