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Intraday patterns in time-varying correlations among Central European stock markets

Tomasz Wójtowicz ()

Managerial Economics, 2016, vol. 17, issue 1, 149-162

Abstract: In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare time-varying conditional correlations of intraday returns of the main indices of the stock exchanges. We study the impact of important public information, US macroeconomic news announcements, on the strength of interrelationships between the markets. Additionally, we analyze diurnal patterns in time-varying correlations on different days of the week.

Keywords: CEE stock markets; DCC-GARCH model; emerging markets; intraday data (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:agh:journl:v:17:y:2016:i:1:p:149-162