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European equity market integration and joint relationship of conditional volatility and correlations
Plymouth Business School, Plymouth, Devon, United Kingdom.
Örebro University, Örebro University School of Business.ORCID iD: 0000-0002-1488-4703
2017 (English)In: Journal of International Money and Finance, ISSN 0261-5606, E-ISSN 1873-0639, Vol. 71, p. 53-77Article in journal (Refereed) Published
Abstract [en]

We analyse the integration patterns of seven leading European stock markets from 1990 to 2013 using daily data and mismatched monthly macroeconomic data. To study the mismatch of data frequencies we use the DCC-MIDAS (Dynamic Conditional Correlation - Mixed Data Sampling) technique developed by Colacito, Engle and Ghysels (journal of Econometrics, 2011). We benchmark European integration patterns against the German stock market. The reported integration patterns show a clear divide between large and (relatively) small equity markets' short run and long run return correlations: the small markets display higher short run European convergences than the large markets and vice versa. The across-the-board divergence from Greek risk, during the crisis period, is the most unambiguous conclusion of our study. During this period, cross-country joint relationships of conditional variances and return correlations - a 'convergence of risks' resulting in global/regional contagious spillovers - are typically positive. Only exceptions are the German stock market's joint relationships.

Place, publisher, year, edition, pages
Elsevier, 2017. Vol. 71, p. 53-77
Keywords [en]
Correlation, DCC-MIDAS, GARCH, Volatility
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:oru:diva-56259DOI: 10.1016/j.jimonfin.2016.10.007ISI: 000393266800003Scopus ID: 2-s2.0-85008702728OAI: oai:DiVA.org:oru-56259DiVA, id: diva2:1081069
Available from: 2017-03-13 Created: 2017-03-13 Last updated: 2017-11-29Bibliographically approved

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Javed, Farrukh
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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
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  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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