Effects of the Financial Crisis on Stock Market of the Czech Republic and Spain
diploma thesis (DEFENDED)
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Permanent link
http://hdl.handle.net/20.500.11956/59848Identifiers
Study Information System: 111991
Collections
- Kvalifikační práce [18349]
Faculty / Institute
Faculty of Social Sciences
Discipline
Economics and Finance
Department
Information is unavailable
Date of defense
30. 1. 2013
Publisher
Univerzita Karlova, Fakulta sociálních vědLanguage
English
Grade
Good
Keywords (Czech)
financial crisis, stock market, volatility spilloversKeywords (English)
financial crisis, stock market, volatility spilloversThe paper analyzes effects of the financial crisis on stock market of the Czech Republic and Spain. We employ BEKK-GARCH model in order to study volatility spillovers and transmissions from the US stock market to stock markets of the Czech Republic and Spain. The multivariate GARCH models results show statistically significant, but relatively small, almost irrelevant volatility spillovers from the US stock market to stock markets of the Czech Republic and Spain. The Czech stock market exhibits higher conditional correlation coefficient than the Spanish stock market.