Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data

被引：0

作者：

Egert, Balazs ^{[1
]}

Kocenda, Evzen ^{[1
]}

机构：

[1] Oesterreich Natlionalbank, F-92001 Nanterre, France

来源：

PROCEEDINGS OF THE 25TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2007 | 2007年

关键词：

stock markets; intraday data; comovements; bi-variate GARCH; European integration;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets. The novelty of our paper is that we apply the Dynamic Conditional Correlation GARCH models proposed by [6] to five-minute tick intraday stock price data for the period from June 2003 to January 2006. We find a strong correlation between the German and French markets and also between these two markets and the UK stock market. By contrast, very little systematic positive correlation can be detected between the Western European stock markets and the three stock markets of Central and Eastern Europe, as well as within the latter group.

引用

页码：71 / 77

页数：7

共 13 条

[1]

[Anonymous], 2003, STUD ECON FINANC, DOI DOI 10.1108/EB028768

[2] Comovement in international equity markets: A sectoral view [J].