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Intraday patterns in time-varying correlations among Central European stock markets

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  • Tomasz Wojtowicz

    (AGH University of Science and Technology, Department of Applications of Mathematics in Economics)

Abstract

In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare time-varying conditional correlations of intraday returns of the main indices of the stock exchanges. We study the impact of important public information, US macroeconomic news announcements, on the strength of interrelationships between the markets. Additionally, we analyze diurnal patterns in time-varying correlations on different days of the week.

Suggested Citation

  • Tomasz Wojtowicz, 2016. "Intraday patterns in time-varying correlations among Central European stock markets," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(1), pages 149-162.
    • Handle: RePEc:agh:journl:v:17:y:2016:i:1:p:149-162
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    References listed on IDEAS

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