Publikace na Fakulta sociálních věd, Matematicko-fyzikální fakulta, Centrum pro ekonomický výzkum a doktorské studium |
2011
Abstrakt
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.