Intraday patterns in time-varying correlations among Central European stock markets

• Autorzy: Wójtowicz T.

Identyfikatory

DOI

10.7494/manage.2016.17.1.149

• Języki publikacji: EN

Abstrakty

EN

In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare time-varying conditional correlations of intraday returns of the main indices of the stock exchanges. We study the impact of important public information, US macroeconomic news announcements, on the strength of interrelationships between the markets. Additionally, we analyze diurnal patterns in time-varying correlations on different days of the week.

Słowa kluczowe

EN

CEE stock markets; DCC-GARCH model; emerging markets; intraday data

• Wydawca: Wydawnictwa AGH
• Czasopismo: Managerial Economics
• Rocznik: 2016
• Tom: Vol. 17, no. 1
• Strony: 149--162
• Opis fizyczny: Bibliogr. 18 poz., tab., wykr.

Twórcy

autor

Wójtowicz T.

• AGH University of Science and Technology, Faculty of Management, Department of Applications of Mathematics in Economics

Bibliografia

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Uwagi

Financial support for this paper from the National Science Centre of Poland [Research Grant DEC-2012/05/B/HS4/00810] is gratefully acknowledged