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

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  • Balázs Égert
  • Evžen Kocenda

Abstract

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 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 Info

Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp861.

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Length: pages
Date of creation: 01 Mar 2007
Date of revision:
Handle: RePEc:wdi:papers:2007-861

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

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References

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Cited by:
  1. Aslanidis, Nektarios & Savva, Christos S., 2008. "Stock market integration between new EU member states and the Euro-zone," Working Papers 2072/13263, Universitat Rovira i Virgili, Department of Economics.
  2. Eirini Syngelaki, 2010. "Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance," Economics, Finance and Accounting Department Working Paper Series n209-10.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  3. repec:ecu:wpaper:2010-01 is not listed on IDEAS

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