Stock market comovements in Central Europe: Evidence from the asymmetric DCC model |
| |
| Institution: | 1. Institute of Economic Studies, Charles University, Czech Republic;2. IOS, Regensburg, Germany;1. Antai College of Economics & Management, Shanghai Jiao Tong University, Fahuazhen Road 535, Shanghai, PR China;2. School of Banking and Finance, University of New South Wales, Sydney 2052, Australia;1. Department of Economics, Cà Foscari University of Venice, 873 Cannaregio, Fondamenta San Giobbe, 30121 Venezia, Italy;2. Department of Economics, Accounting and Statistics, University of Palermo, V.le delle Scienze, 90128 Palermo, Italy;3. CEFIN, Modena, Italy;4. RECent, Modena, Italy;5. Department of Economics, University of Modena and Reggio Emilia, Viale J. Berengario, 51, 41121 Modena, Italy;1. Department of Economics, Kobe University 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan;2. Faculty of Economics, Kobe University 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan |
| |
| Abstract: | We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-à-vis the euro area are strong. The correlations increased over time, particularly after their EU entry and largely remained at these levels during the financial crisis. The stock markets exhibit asymmetry in the conditional variances and to a certain extent in the conditional correlations as well, pointing to the importance of applying a sufficiently flexible econometric framework. The conditional variances and correlations are positively related, suggesting that the diversification benefits decrease disproportionally during volatile periods. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
