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 …

Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

While the enlargement of the Euro area to new countries has reduced the average return correlation among member … countries, the financial crisis and the sovereign debt crisis have led to an increase in stock return correlation among old … have reduced their portfolio equity investment in assets issued by member countries featuring a stronger returns …