EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , , |
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 |
Resumo: | 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. |
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EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficientscomovementscorrelation coefficientDCCAstock market integrationFor 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.P.F. and A.D. are pleased to acknowledge financial support from Fundação para a Ciência e Tecnologia (grant UIDB/04007/2020). P.F. also acknowledges the financial support of Fundação para a Ciência e a Tecnologia (grant UIDB/05064/2020).MDPI2021-01-04T12:11:31Z2021-01-042020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/28582https://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)http://hdl.handle.net/10174/28582https://doi.org/doi.org/10.3390/jrfm13050091enghttps://www.mdpi.com/1911-8074/13/5/91tilfani.oussama@gmail.compjsf@uevora.ptandreia@uevora.ptm.elboukfaoui@uca.ma637Tilfani, OussamaFerreira, PauloDionisio, AndreiaEl Boukfaoui, My Youssefinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T19:25:10Zoai:dspace.uevora.pt:10174/28582Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:18:32.434078Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients |
title |
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients |
spellingShingle |
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients Tilfani, Oussama comovements correlation coefficient DCCA stock market integration |
title_short |
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients |
title_full |
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients |
title_fullStr |
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients |
title_full_unstemmed |
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients |
title_sort |
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients |
author |
Tilfani, Oussama |
author_facet |
Tilfani, Oussama Ferreira, Paulo Dionisio, Andreia El Boukfaoui, My Youssef |
author_role |
author |
author2 |
Ferreira, Paulo Dionisio, Andreia El Boukfaoui, My Youssef |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Tilfani, Oussama Ferreira, Paulo Dionisio, Andreia El Boukfaoui, My Youssef |
dc.subject.por.fl_str_mv |
comovements correlation coefficient DCCA stock market integration |
topic |
comovements correlation coefficient DCCA stock market integration |
description |
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. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-01-01T00:00:00Z 2021-01-04T12:11:31Z 2021-01-04 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
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) http://hdl.handle.net/10174/28582 https://doi.org/doi.org/10.3390/jrfm13050091 |
url |
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 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.mdpi.com/1911-8074/13/5/91 tilfani.oussama@gmail.com pjsf@uevora.pt andreia@uevora.pt m.elboukfaoui@uca.ma 637 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
MDPI |
publisher.none.fl_str_mv |
MDPI |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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