Szczegóły publikacji
Opis bibliograficzny
Intraday patterns in time-varying correlations among Central European stock markets / Tomasz WÓJTOWICZ // Managerial Economics = Ekonomia Menedżerska ; ISSN 1898-1143. — 2016 — vol. 17 no. 1, s. 149–162. — Bibliogr. s. 161–162, Summ.
Autor
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 99465 |
|---|---|
| Data dodania do BaDAP | 2016-08-09 |
| Tekst źródłowy | URL |
| DOI | 10.7494/manage.2016.17.1.149 |
| Rok publikacji | 2016 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Ekonomia Menedżerska = Managerial Economics |
Abstract
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.
