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dc.contributor.advisorHorváth, Roman
dc.creatorGjika, Dritan
dc.date.accessioned2017-05-18T17:23:04Z
dc.date.available2017-05-18T17:23:04Z
dc.date.issued2013
dc.identifier.urihttp://hdl.handle.net/20.500.11956/60440
dc.description.abstractWe investigate the interdependence among three CEE stock markets and be- tween CEEs vis-à-vis euro area, using daily data from 2001-2011. Initially, we estimate bivariate ADCC models. Then, OLS regressions are employed to understand the evolution of correlations in time and during the recent financial crises. Finally, we examine the relationship between correlations and volatilities using the simple OLS model and the rolling stepwise regression methodology. Our results indicate that 3 out of 4 series exhibit asymmetries in conditional variances, while only 1 pair out of 6 exhibit asymmetries in correlations. We found that correlations are increased over time and during the recent financial crises for both pairs (CEEs-CEEs and CEEs-eurozone). However, the highest increase is observed for CEEs-eurozone. Mainly, we found a positive rela- tionship between correlations and volatilities, even though this relationship is niether constant in time nor strictly positive or negative during all the sample period, but rather time-varying with periods of being higher or lower than zero.en_US
dc.languageEnglishcs_CZ
dc.language.isoen_US
dc.publisherUniverzita Karlova, Fakulta sociálních vědcs_CZ
dc.subjectCentral Eastern Europeen_US
dc.subjectstock market comovementsen_US
dc.subjectasymmetric dynamic conditional correlationen_US
dc.titleCEE stock market comovements: An asymmetric DCC analysisen_US
dc.typediplomová prácecs_CZ
dcterms.created2013
dcterms.dateAccepted2013-01-30
dc.description.departmentInstitute of Economic Studiesen_US
dc.description.departmentInstitut ekonomických studiícs_CZ
dc.description.facultyFakulta sociálních vědcs_CZ
dc.description.facultyFaculty of Social Sciencesen_US
dc.identifier.repId110310
dc.contributor.refereeSvoboda, Svatopluk
dc.identifier.aleph001557777
thesis.degree.nameMgr.
thesis.degree.levelnavazující magisterskécs_CZ
thesis.degree.disciplineEkonomie a financecs_CZ
thesis.degree.disciplineEconomics and Financeen_US
thesis.degree.programEconomicsen_US
thesis.degree.programEkonomické teoriecs_CZ
uk.thesis.typediplomová prácecs_CZ
uk.taxonomy.organization-csFakulta sociálních věd::Institut ekonomických studiícs_CZ
uk.taxonomy.organization-enFaculty of Social Sciences::Institute of Economic Studiesen_US
uk.faculty-name.csFakulta sociálních vědcs_CZ
uk.faculty-name.enFaculty of Social Sciencesen_US
uk.faculty-abbr.csFSVcs_CZ
uk.degree-discipline.csEkonomie a financecs_CZ
uk.degree-discipline.enEconomics and Financeen_US
uk.degree-program.csEkonomické teoriecs_CZ
uk.degree-program.enEconomicsen_US
thesis.grade.csVýborněcs_CZ
thesis.grade.enExcellenten_US
uk.abstract.enWe investigate the interdependence among three CEE stock markets and be- tween CEEs vis-à-vis euro area, using daily data from 2001-2011. Initially, we estimate bivariate ADCC models. Then, OLS regressions are employed to understand the evolution of correlations in time and during the recent financial crises. Finally, we examine the relationship between correlations and volatilities using the simple OLS model and the rolling stepwise regression methodology. Our results indicate that 3 out of 4 series exhibit asymmetries in conditional variances, while only 1 pair out of 6 exhibit asymmetries in correlations. We found that correlations are increased over time and during the recent financial crises for both pairs (CEEs-CEEs and CEEs-eurozone). However, the highest increase is observed for CEEs-eurozone. Mainly, we found a positive rela- tionship between correlations and volatilities, even though this relationship is niether constant in time nor strictly positive or negative during all the sample period, but rather time-varying with periods of being higher or lower than zero.en_US
uk.file-availabilityV
uk.publication.placePrahacs_CZ
uk.grantorUniverzita Karlova, Fakulta sociálních věd, Institut ekonomických studiícs_CZ


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