Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model
AbstractWe examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis–à–vis the euro area are strong. They increased over time, especially after the EU entry and remained largely at these levels during financial crisis. The stock markets exhibit asymmetry in the conditional variances and in the conditional correlations, to a certain extent, too, pointing to an importance of applying sufficiently flexible econometric framework. The conditional variances and correlations are positively related suggesting that the diversification benefits decrease disproportionally during volatile periods.
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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 wp1035.
Date of creation: 01 Aug 2012
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stock market comovements; Central Europe; financial crisis;
Other versions of this item:
- Dritan Gjika & Roman Horváth, 2012. "Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model," Working Papers 322, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies).
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-22 (All new papers)
- NEP-EEC-2012-09-22 (European Economics)
- NEP-FMK-2012-09-22 (Financial Markets)
- NEP-TRA-2012-09-22 (Transition Economics)
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