Linkages between European National Stock Markets During Trading and Non-Trading Hours

REFC – Spanish Journal of Finance and Accounting, Forthcoming

38 Pages Posted: 23 Aug 2014 Last revised: 14 Jul 2020

See all articles by Małgorzata Doman

Małgorzata Doman

Poznań University of Economics and Business

Ryszard Doman

Adam Mickiewicz University, Poznań

Date Written: March 9, 2016

Abstract

The paper documents differences in the structures of dependence between stock markets during trading and non-trading hours. We study this issue on the basis of analysis of the dynamic dependence between five selected European stock markets during the period from 1997 to the beginning of 2013. The markets are represented by their main stock indices. The analysis is performed by means of Markov-switching copula models with three regimes. The adopted approach enables us to avoid limiting ourselves to elliptical distributions for the bivariate returns, and allows to assess dependence in tails of the bivariate distributions. Moreover, due to the use of copulas with Markov-switching there is no necessity to make any a priori assumptions concerning the time or cause of a change in the dependence structure.

Keywords: stock market, linkages, trading hours, copula, dependence measures, Markov-switching

JEL Classification: G15, C58, F36, C32

Suggested Citation

Doman, Małgorzata and Doman, Ryszard, Linkages between European National Stock Markets During Trading and Non-Trading Hours (March 9, 2016). REFC – Spanish Journal of Finance and Accounting, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2485141 or http://dx.doi.org/10.2139/ssrn.2485141

Małgorzata Doman

Poznań University of Economics and Business ( email )

Al. Niepodległości 10
Poznań, 61-875
Poland

Ryszard Doman (Contact Author)

Adam Mickiewicz University, Poznań ( email )

Uniwersytetu Poznańskiego 4
Poznań, 61-614
Poland

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