Time-varying synchronization of European stock markets

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.

Klíčová slova

• stock markets
• intraday data
• comovements