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2016 | 17 | nr 1 | 149--162
Tytuł artykułu

Intraday Patterns in Time-Varying Correlations Among Central European Stock Markets

Warianty tytułu
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. (original abstract)
Rocznik
Tom
17
Numer
Strony
149--162
Opis fizyczny
Twórcy
  • AGH University of Science and Technology, Poland
Bibliografia
  • Andersen, T. and Bollerslev, T. (1997) 'Intraday periodicity and volatility persistence in financial markets', Journal of Empirical Finance, vol. 4, pp. 115-158.
  • Bollerslev, T. (1990) 'Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model', The Review of Economics and Statistics, vol. 72, No. 3, pp. 498-505.
  • Černý, A. and Koblas, M. (2005) 'Stock Market Integration and the Speed of Information Transmission: The Role of Data Frequency in Cointegration and Granger Causality Tests', Journal of International Business and Economics, vol. 1, pp. 110-120.
  • Engle, R.F. (2002) 'Dynamic Conditional Correlation', Journal of Business and Economic Statistics, vol. 20, No. 3, pp. 339-350.
  • Égert, B. and Kočenda, E. (2007) 'Interdependence between Eastern and Western European Stock Markets: Evidence from Intraday Data', Economic Systems, vol. 31, No. 2, pp. 184-203.
  • Égert, B. and Kočenda, E. (2011) 'Time-varying synchronization of European stock markets', Empirical Economics, vol. 40, No. 2, pp. 393-407.
  • Gjika, D. and Horváth, R. (2013) 'Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model', Economic Modelling, vol. 33, pp. 55-64.
  • Gurgul, H. and Wójtowicz, T. (2014) 'The impact of US macroeconomic news on the Polish stock market. The importance of company size to information flow', Central European Journal of Operations Research, vol. 22, pp. 795-817.
  • Gurgul, H. and Wójtowicz, T. (2015) 'The Response of Intraday ATX Returns to U.S. Macroeconomic News', Finance a úvěr - Czech Journal of Economics and Finance, vol. 65, No. 3, pp. 230-253.
  • Hanousek, J., Kočenda, E. and Kutan, A.M. (2009) 'The reaction of asset prices to macroeconomic announcements in new EU markets: evidence from intraday data', Journal of Financial Stability, vol. 5, No. 2, pp. 199-219.
  • Harju, K. and Hussain, S.M. (2011) 'Intraday seasonalities and macroeconomic news announcements', European Financial Management, vol. 17, pp. 367-390.
  • Nikkinen, J. and Sahlström, P. (2004) 'Scheduled Domestic and US Macroeconomic News and Stock Valuation in Europe', Journal of Multinational Financial Management, vol. 14, pp. 201-245.
  • Nikkinen, J., Omran, M., Sahlström, M. and Äijö, A. (2006) 'Global stock market reactions to scheduled U.S. macroeconomic news announcements', Global Finance Journal, vol. 17(1), pp. 92-104.
  • Savva, C.S. and Aslanidis, C. (2010) 'Stock Market Integration between New EU Member States and the Eurozone', Empirical Economics, vol. 39, No. 2, pp. 337-351.
  • Syllignakis, M.N. and Kouretas, G.P. (2011) 'Dynamic Correlation Analysis of Financial Contagion: Evidence from the Central and Eastern European Markets', International Review of Economics & Finance, vol. 20, No. 4, pp. 717-732.
  • Syriopoulos, T. (2004) 'International portfolio diversification to Central European stock markets', Applied Financial Economics, vol. 14, pp. 1253-1268.
  • Syriopoulos, T. (2007) 'Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?', International Review of Financial Analysis, vol. 16, No. 1, pp. 41-60.
  • Voronkova, S. (2004) 'Equity Market Integration in Central European Emerging Markets: A Cointegration Analysis with Shifting Regimes', International Review of Financial Analysis, vol. 13, No. 5, pp. 633-647.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171628192

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