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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.agh.edu.pl/manage/article/view/2112/1549 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agh:journl:v:17:y:2016:i:1:p:149-162

Access Statistics for this article

Managerial Economics is currently edited by Henryk Gurgul

More articles in Managerial Economics from AGH University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Lukasz Lach ().