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

Balázs Égert and Evžen Kočenda

No wp861, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: 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.

Keywords: stock markets; intraday data; comovements; bi-variate GARCH; European integration (search for similar items in EconPapers)
JEL-codes: F37 G15 (search for similar items in EconPapers)
Pages: pages
Date: 2007-03-01
New Economics Papers: this item is included in nep-eec, nep-mst, nep-rmg and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Time-varying synchronization of European stock markets (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:wdi:papers:2007-861

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