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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

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  • Silvo Dajcman
  • Mejra Festic
  • Alenka Kavkler

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.

Suggested Citation

  • Silvo Dajcman & Mejra Festic & Alenka Kavkler, 2012. "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," Applied Economics Letters, Taylor & Francis Journals, vol. 19(13), pages 1249-1256, September.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:13:p:1249-1256
    DOI: 10.1080/13504851.2011.619481
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    22. Kryzanowski, Lawrence & Zhang, Jie & Zhong, Rui, 2017. "Cross-financial-market correlations and quantitative easing," Finance Research Letters, Elsevier, vol. 20(C), pages 13-21.

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