Working Papers, Hanken School of Economics
No 516:
Intraday Linkages Across International Equity Markets
Kari Harju ()
and Syed Mujahid Hussain ()
Abstract: Utilizing concurrent 5-minute returns, the intraday
dynamics and inter-market dependencies in international equity markets were
investigated. A strong intraday cyclical autocorrelation structure in the
volatility process was observed to be caused by the diurnal pattern. A
major rise in contemporaneous cross correlation among European stock
markets was also noticed to follow the opening of the New York Stock
Exchange. Furthermore, the results indicated that the returns for UK and
Germany responded to each other’s innovations, both in terms of the first
and second moment dependencies. In contrast to earlier research, the US
stock market did not cause significant volatility spillover to the European
markets.
Keywords: Intraday; diurnal pattern; conditional mean; volatility spillovers; Flexible Fourier Form; VAR; EGARCH; asymmetry; (follow links to similar papers)
25 pages, September 13, 2006
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