EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

• Autor(a) principal: Tilfani, Oussama
• Data de Publicação: 2020
• Outros Autores: Ferreira, Paulo, Dionisio, Andreia, El Boukfaoui, My Youssef
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10174/28582; https://doi.org/Tilfani, O.; Ferreira, P.; Dionísio, A. e Youssef El Boukfaoui, M. (2020). “EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients”. Journal of Risk Financial Management, 13 (5), 91 (doi.org/10.3390/jrfm13050091); https://doi.org/doi.org/10.3390/jrfm13050091
• topic: comovements; correlation coefficient; DCCA; stock market integration

For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended crosscorrelation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the objective of performing a dynamic analysis, sliding windows were used in an attempt to represent short and long-term analyses. Critical moments in financial markets worldwide were also taken into account, namely the subprime debt crisis, the sovereign debt crisis, and Brexit. The results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the Brexit decision reduced those connections. The subprime crisis also increases comovements among markets.