Time-varying synchronization of European stock markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F11%3A00359855" target="_blank" >RIV/00216208:11640/11:00359855 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s00181-010-0341-3" target="_blank" >http://dx.doi.org/10.1007/s00181-010-0341-3</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00181-010-0341-3" target="_blank" >10.1007/s00181-010-0341-3</a>
Alternative languages
Result language
angličtina
Original language name
Time-varying synchronization of European stock markets
Original language description
We study intraday comovements among three developed (France, Germany, and the United Kingdom) and three emerging (the Czech Republic, Hungary, and Poland) European stock markets. When applying a Dynamic Conditional Correlation GARCH model to 5- min tickintraday stock price data (2003?2006), we find a strong correlation between the German and French markets and also between these two markets and the UK stock market.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Empirical Economics
ISSN
0377-7332
e-ISSN
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Volume of the periodical
40
Issue of the periodical within the volume
2
Country of publishing house
DE - GERMANY
Number of pages
14
Pages from-to
394-407
UT code for WoS article
000288557500008
EID of the result in the Scopus database
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