Time-varying synchronization of European stock markets

被引：0
|
作者：
Balázs Égert
Evžen Kočenda
机构：
[1] OECD,
[2] Economics Department,undefined
[3] CESifo,undefined
[4] EconomiX at the University of Paris X-Nanterre,undefined
[5] William Davidson Institute,undefined
[6] CERGE-EI,undefined
[7] Charles University in Prague,undefined
[8] Academy of Sciences of the Czech Republic,undefined
[9] Anglo-American University,undefined
[10] CEPR,undefined
[11] Euro Area Business Cycle Network,undefined
来源：
Empirical Economics | 2011年 / 40卷
关键词：
Stock markets; Intraday data; Comovements; Bi-variate GARCH; European integration; C52; F36; G15; P59;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study intraday comovements among three developed (France, Germany, and the United Kingdom) and three emerging (the Czech Republic, Hungary, and Poland) European stock markets. When applying a Dynamic Conditional Correlation GARCH model to 5- min tick intraday stock price data (2003–2006), we find a strong correlation between the German and French markets and also between these two markets and the UK stock market. However, very little systematic positive correlation during a trading day can be detected between the developed and emerging stock markets, or within the emerging group itself. Hungary exhibits higher correlation with the developing markets and the emerging markets and its dynamics show an increasing trend; Poland and the Czech Republic produce less clear-cut results.
引用
收藏
页码：393 / 407
页数：14
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