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Time-varying synchronization of European stock markets

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  • Balázs Égert
  • Evžen Kočenda

Abstract

We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets. The novelty of our paper is that we apply the Dynamic Conditional Correlation GARCH models proposed by Engle (2002) to five-minute tick intraday stock price data for the period from June 2003 to January 2006. We find a strong correlation between the German and French markets and also between these two markets and the UK stock market. By contrast, very little systematic positive correlation can be detected between the Western European stock markets and the three stock markets of Central and Eastern Europe, as well as within the latter group.
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Suggested Citation

  • Balázs Égert & Evžen Kočenda, 2011. "Time-varying synchronization of European stock markets," Empirical Economics, Springer, vol. 40(2), pages 393-407, April.
    • Handle: RePEc:spr:empeco:v:40:y:2011:i:2:p:393-407
    DOI: 10.1007/s00181-010-0341-3
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    More about this item

    Keywords

    Stock markets; Intraday data; Comovements; Bi-variate GARCH; European integration; C52; F36; G15; P59;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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