This paper examines the short-term dynamics, macroeconomic sensitivities, and longer-term trends in the variances and covariances of national equity market index daily returns for eleven countries in the Euro currency zone. We modify Colacito, Engle and Ghysel�s Mixed Data Sampling Dynamic Conditional Correlation Garch model to include a new scalar measure for the degree of correlatedness in time-varying correlation matrices. We also explore the robustness of the �ndings with a less model-dependent realized covariance estima- tor. We �nd a secular trend toward higher correlation during our sample period, and signi�cant linkages between macroeconomic and market-wide variables and dynamic correlation. One notable �nding is that average correlation between these markets is lower when their average GDP growth rate is lower or when more of them have negative GDP growth.