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

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Faculty of Sciences and Techniques, Cadi Ayyad University, Marrakech 40000, Morocco
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VALORIZA—Research Center for Endogenous Resource Valorization, 7300 Portalegre, Portugal
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Instituto Politécnico de Portalegre, 7300 Portalegre, Portugal
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Center for Advanced Studies in Management and Economics of the Universidade de Évora (CEFAGE), IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000 Évora, Portugal
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2020, 13(5), 91; https://doi.org/10.3390/jrfm13050091
Received: 30 March 2020 / Revised: 23 April 2020 / Accepted: 4 May 2020 / Published: 7 May 2020
(This article belongs to the Special Issue Stock Markets Behavior)
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 cross-correlation 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. View Full-Text
Keywords: comovements; correlation coefficient; DCCA; European Union; stock market integration comovements; correlation coefficient; DCCA; European Union; stock market integration
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Tilfani, O.; Ferreira, P.; Dionisio, A.; Youssef El Boukfaoui, M. EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients. J. Risk Financial Manag. 2020, 13, 91.

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