European equity market integration and joint relationship of conditional volatility and correlations

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• 作者：Nader Virk^a ; ^{nader.virk@plymouth.ac.uk} ; Farrukh Javed^b
• 关键词：C32 ; C58 ; F36 ; G15
• 刊名：Journal of International Money and Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：71
• 期：Complete
• 页码：53-77
• 全文大小：2599 K
• 卷排序：71

文摘

European market integration patterns are studied using DCC-MIDAS technique of Colacito et al. (2011). Realised volatility is an effective proxy for long run stock market volatility. Small equity markets display higher short run European convergences than the large markets and vice versa. Divergence from the Greek risk is witnessed during the European debt crisis period. Variances and correlations typically co-move across periods, necessarily not for German market.