Počet záznamů: 1

Time-varying synchronization of European stock markets

  1. 1.
    0359855 - NHU-C 2012 RIV DE eng J - Článek v odborném periodiku
    Égert, B. - Kočenda, Evžen
    Time-varying synchronization of European stock markets.
    Empirical Economics. Roč. 40, č. 2 (2011), s. 394-407 ISSN 0377-7332
    Grant CEP: GA ČR(CZ) GA402/08/1376; GA MŠk LC542
    Výzkumný záměr: CEZ:MSM0021620846
    Klíčová slova: stock markets * intraday data * comovements
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 0.597, rok: 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.
    Trvalý link: http://hdl.handle.net/11104/0197556