Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/2133
Title: Periodic dynamic conditional correlations between stock markets in Europe and the US
Authors: Osborn, Denise R. 
Gill, Len 
Savva, Christos S. 
Major Field of Science: Social Sciences
Field Category: SOCIAL SCIENCES
Keywords: Day-of-the-week-effect;Dynamic conditional correlations;Periodic models;Volatility
Issue Date: 2008
Source: Journal of Financial Econometrics, 2008, vol. 6, iss. 3, pp. 307-325
Volume: 6
Issue: 3
Start page: 307
End page: 325
Journal: Journal of Financial Econometrics 
Abstract: This study extends the dynamic conditional correlation model of Engle (2002, Journal of Business and Economic Statistics 20, 339-350) to allow periodic (day-specific) conditional correlations of shocks across international stock markets. The properties of the resulting periodic dynamic conditional correlation (PDCC) model are examined, focusing particularly on stationarity and the implications for unconditional shock correlations. When applied to the intraweek interactions between six developed European stock markets and the United States over 1993-2005, we find very strong evidence of periodic conditional correlations for the shocks. The highest correlations are generally observed on Thursdays, with these sometimes being twice those on Monday or Tuesday. In addition to these PDCC effects, strong day-of-the-week effects are found in mean returns for the French, Italian, and Spanish stock markets, while periodic effects are also present in volatility for all stock markets except Italy.
URI: https://hdl.handle.net/20.500.14279/2133
ISSN: 14798409
DOI: 10.1093/jjfinec/nbn005
Rights: © The Author. Published by Oxford University Press
Type: Article
Affiliation: University of Cyprus 
Affiliation : The University of Manchester 
University of Cyprus 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

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