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The paper examines the asymmetry of correlation between the Eurozone’s stock market returns. The asymmetry of correlation is investigated pair-wise, by estimating the exceedance correlation between returns of two stock markets at a time. As markets can be very volatile, especially in crisis periods, and because there are investors with different investment horizons, we investigate whether the results are sensitive to time interval of stock market returns. We found that the results of the exceedance correlation estimates and the asymmetric correlation test do depend on the time interval of returns. When longer time interval returns (20-day moving average returns) are used, the Eurozone stock markets’ returns’ dynamics are more (pair-wise) correlated in the falling markets than in the up markets, while for daily returns, the correlations in the up markets are higher for most of the investigated Eurozone’s stock indices pairs. An important implication of the results of the paper is that investors in stock markets should investigate the exceedance correlations and asymmetry of correlation for those return intervals (daily, weekly, monthly, etc.) that correspond to their investment horizon.

A Formal Test of Asymmetric Correlation in Stock Market Returns and the Relevance of Time Interval of Returns – a Case of Eurozone Stock Markets