Time-varying synchronization of European stock markets

被引：52

作者：

Egert, Balazs ^{[2
,3
,4
,5
]}

Kocenda, Evzen ^{[1
,3
,5
,6
,7
,8
,9
]}

机构：

[1] Charles Univ Prague, CERGE EI, Prague 11121, Czech Republic

[2] OECD, Dept Econ, Paris, France

[3] CESifo, Munich, Germany

[4] Univ Paris 10, Nanterre, France

[5] William Davidson Inst, Ann Arbor, MI USA

[6] Acad Sci Czech Republ, Prague, Czech Republic

[7] Anglo Amer Univ, Prague, Czech Republic

[8] CEPR, London, England

[9] Euro Area Business Cycle Network, London, England

来源：

EMPIRICAL ECONOMICS | 2011年 / 40卷 / 02期

关键词：

Stock markets; Intraday data; Comovements; Bi-variate GARCH; European integration; DYNAMIC CONDITIONAL CORRELATION; CONVERGENCE; COMOVEMENT; RETURNS; PRICES;

D O I：

10.1007/s00181-010-0341-3

中图分类号：

F [经济];

学科分类号：

02 ;

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

页码：393 / 407

页数：15

共 45 条

[1] [Anonymous], 2001, THEORETICAL EMPIRICA, DOI [10.3386/w8554, DOI 10.3386/W8554]
[2] [Anonymous], 2007, INT REV FINANC ANAL
[3] Convergence in exchange rates: market's view on CE-4 joining EMU
Babetskaia-Kukharchuk, Oxana
Babetskii, Ian
Podpiera, Jiri
[J]. APPLIED ECONOMICS LETTERS, 2008, 15 (05) : 385 - 390
[4] A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
Bauwens, L
Laurent, S
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2005, 23 (03) : 346 - 354
[5] TIME-VARYING WORLD MARKET INTEGRATION
BEKAERT, G
HARVEY, CR
[J]. JOURNAL OF FINANCE, 1995, 50 (02) : 403 - 444
[6] Comovement in international equity markets: A sectoral view
Berben, RP
Jansen, WJ
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2005, 24 (05) : 832 - 857
[7] Brooks R., 2003, FINANC DEV, P46
[8] Bystrom H.N. E., 2004, EUR J FINANC, V10, P44, DOI DOI 10.1080/1351847032000061379
[9] Clare A, 1998, INT J FINANC ECON, V3, P111
[10] Measuring monetary independence:: Evidence from a group of new EU member countries
Cuaresma, JC
Wójcik, C
[J]. JOURNAL OF COMPARATIVE ECONOMICS, 2006, 34 (01) : 24 - 43

← 1 2 3 4 5 →