Empirical Economics

, Volume 40, Issue 2, pp 393–407

Time-varying synchronization of European stock markets

Article

DOI: 10.1007/s00181-010-0341-3

Cite this article as:
Égert, B. & Kočenda, E. Empir Econ (2011) 40: 393. doi:10.1007/s00181-010-0341-3

Abstract

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. However, very little systematic positive correlation during a trading day can be detected between the developed and emerging stock markets, or within the emerging group itself. Hungary exhibits higher correlation with the developing markets and the emerging markets and its dynamics show an increasing trend; Poland and the Czech Republic produce less clear-cut results.

Keywords

Stock markets Intraday data Comovements Bi-variate GARCH European integration 

JEL Classification

C52 F36 G15 P59 

Copyright information

© Springer-Verlag 2010

Authors and Affiliations

  1. 1.OECD, Economics DepartmentParisFrance
  2. 2.CESifoMunichGermany
  3. 3.EconomiX at the University of Paris X-NanterreNanterre CedexFrance
  4. 4.William Davidson InstituteAnn ArborUSA
  5. 5.CERGE-EI, Charles University in PraguePragueCzech Republic
  6. 6.Academy of Sciences of the Czech RepublicPragueCzech Republic
  7. 7.Anglo-American UniversityPragueCzech Republic
  8. 8.CEPRLondonUK
  9. 9.Euro Area Business Cycle NetworkLondonUK

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