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dc.contributor.authorVirk, NS
dc.contributor.authorJaved, F
dc.date.accessioned2016-11-17T12:36:18Z
dc.date.available2016-11-17T12:36:18Z
dc.date.issued2016-11-14
dc.identifier.issn0261-5606
dc.identifier.issn1873-0639
dc.identifier.urihttp://hdl.handle.net/10026.1/6751
dc.description.abstract

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.

dc.format.extent53-77
dc.languageen
dc.language.isoen
dc.publisherElsevier BV
dc.subjectCorrelation
dc.subjectDCC-MIDAS
dc.subjectGARCH
dc.subjectVolatility
dc.titleEuropean equity market integration and joint relationship of conditional volatility and correlations
dc.typejournal-article
dc.typeArticle
plymouth.author-urlhttps://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000393266800003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=11bb513d99f797142bcfeffcc58ea008
plymouth.volume71
plymouth.publisher-urlhttp://dx.doi.org/10.1016/j.jimonfin.2016.10.007
plymouth.publication-statusPublished
plymouth.journalJournal of International Money and Finance
dc.identifier.doi10.1016/j.jimonfin.2016.10.007
plymouth.organisational-group/Plymouth
plymouth.organisational-group/Plymouth/Faculty of Arts, Humanities and Business
dcterms.dateAccepted2016-10-21
dc.rights.embargodate2018-5-14
dc.identifier.eissn1873-0639
dc.rights.embargoperiodNot known
rioxxterms.versionofrecord10.1016/j.jimonfin.2016.10.007
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserved
rioxxterms.licenseref.startdate2016-11-14
rioxxterms.typeJournal Article/Review


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