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


  • Bal??zs ??gert
  • Ev??en Kocenda


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.

Suggested Citation

  • Bal??zs ??gert & Ev??en Kocenda, 2007. "Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp861, William Davidson Institute at the University of Michigan.
  • Handle: RePEc:wdi:papers:2007-861

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    References listed on IDEAS

    1. Andrew Clare & Raymond O'Brien & Stephen Thomas & Michael Wickens, "undated". "Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market," Discussion Papers 94/10, Department of Economics, University of York.
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    Cited by:

    1. Christos Savva & Nektarios Aslanidis, 2010. "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
    2. repec:ris:utmsje:0198 is not listed on IDEAS
    3. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].

    More about this item


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

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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