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Time-varying synchronization of European stock markets
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SYSNO ASEP 0359855 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Time-varying synchronization of European stock markets Author(s) Égert, B. (FR)
Kočenda, Evžen (NHU-C) RIDSource Title Empirical Economics. - : Heidelberg Physica - ISSN 0377-7332
Roč. 40, č. 2 (2011), s. 394-407Number of pages 14 s. Language eng - English Country DE - Germany Keywords stock markets ; intraday data ; comovements Subject RIV AH - Economics R&D Projects GA402/08/1376 GA ČR - Czech Science Foundation (CSF) LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C UT WOS 000288557500008 DOI 10.1007/s00181-010-0341-3 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2012
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