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Intraday Linkages Across International Equity Markets

Author

Listed:
  • Harju, Kari

    (Swedish School of Economics and Business Administration)

  • Hussain, Syed Mujahid

    (Swedish School of Economics and Business Administration)

Abstract

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Suggested Citation

  • Harju, Kari & Hussain, Syed Mujahid, 2006. "Intraday Linkages Across International Equity Markets," Working Papers 516, Hanken School of Economics.
    • Handle: RePEc:hhb:hanken:0516
    as

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    References listed on IDEAS

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    Cited by:

    1. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 21873, University Library of Munich, Germany.

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    Keywords

    Intraday; diurnal pattern; conditional mean; volatility spillovers; Flexible Fourier Form; VAR; EGARCH; asymmetry;
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