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Intraday patterns in time-varying correlations among Central European stock markets
Managerial Economics
View Archive Info| Field | Value | |
| Title |
Intraday patterns in time-varying correlations among Central European stock markets
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| Creator |
Wójtowicz, Tomasz
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| Subject |
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| Description |
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.
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| Publisher |
AGH University of Science and Technology Press.
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| Contributor |
—
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| Date |
2016-07-23
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://journals.agh.edu.pl/manage/article/view/2112
10.7494/manage.2016.17.1.149 |
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| Source |
Managerial Economics; Vol 17, No 1 (2016); 149
1898-1143 |
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| Language |
eng
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| Relation |
https://journals.agh.edu.pl/manage/article/view/2112/1549
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| Rights |
Copyright (c) 2016 Managerial Economics
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