European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 -- a comparative DCC-GARCH and wavelet correlation analysis

Silvo Dajcman, Mejra Festic and Alenka Kavkler

Applied Economics Letters, 2012, vol. 19, issue 13, 1249-1256

Abstract: This article examines the comovement dynamics between the developed European stock markets of the United Kingdom, Germany, France and Austria. After applying a Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedastic (DCC-GARCH) and wavelet multiscale analysis on a daily return series for the period 1997 to 2010, we found that (1) comovements between stock market returns are time varying and scale dependent; (2) financial crisis in the observed period did not uniformly increase comovement between stock market returns across all scales; (3) the global financial crisis of 2007--2008 only slightly and temporarily increased the already high level of comovement between the observed stock markets.

Date: 2012
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DOI: 10.1080/13504851.2011.619481

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