Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data
AbstractWe 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 Engle (2002) 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.
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Bibliographic InfoPaper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp861.
Date of creation: 01 Mar 2007
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stock markets; intraday data; comovements; bi-variate GARCH; European integration;
Find related papers by JEL classification:
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-21 (All new papers)
- NEP-EEC-2007-04-21 (European Economics)
- NEP-MST-2007-04-21 (Market Microstructure)
- NEP-RMG-2007-04-21 (Risk Management)
- NEP-TRA-2007-04-21 (Transition Economics)
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