Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2005 erstellt
Description:
We investigate the intraday dynamics and inter market dependencies in international equity markets utilizing concurrent high frequency 5-minute returns. We observe a strong intraday cyclical autocorrelation structure in absolute returns caused by the diurnal pattern. Moreover, a major rise in volatility is also observed with the opening of New York Stock Exchange. Our results indicate that both European markets, UK and Germany respond to each other's innovations. However, the U.S does not appear to exert any significant influence in terms of second moment dependencies on its European counterparts during two hours of concurrent trading