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Time-varying synchronization of European stock markets
- 1.0359855 - NHU-C 2012 RIV DE eng J - Journal Article
Égert, B. - Kočenda, Evžen
Time-varying synchronization of European stock markets.
Empirical Economics. Roč. 40, č. 2 (2011), s. 394-407. ISSN 0377-7332. E-ISSN 1435-8921
R&D Projects: GA ČR(CZ) GA402/08/1376; GA MŠMT LC542
Institutional research plan: CEZ:MSM0021620846
Keywords : stock markets * intraday data * comovements
Subject RIV: AH - Economics
Impact factor: 0.597, year: 2011
We study intraday comovements among three developed (France, Germany, and the United Kingdom) and three emerging (the Czech Republic, Hungary, and Poland) European stock markets. When applying a Dynamic Conditional Correlation GARCH model to 5- min tick intraday stock price data (2003–2006), we find a strong correlation between the German and French markets and also between these two markets and the UK stock market.
Permanent Link: http://hdl.handle.net/11104/0197556
Number of the records: 1