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.

中文翻译：

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股票市场回报的联动，爱尔兰和伦敦 1869-1929

本文使用资本收益的月度数据研究了 1869 年至 1929 年期间爱尔兰和伦敦股市之间的关系。双变量 GARCH 模型显示，从伦敦到爱尔兰市场存在显着的波动溢出效应，但反之则不然。这表明源自伦敦的冲击被传递到爱尔兰，但没有发生相反的情况。此外，时变相关性表明，在爱尔兰独立斗争和爱尔兰自由邦建立期间，伦敦和爱尔兰之间的联动性有所下降。这种相关性似乎在 1920 年代后期趋于稳定。