Effects of the Financial Crisis on Stock Market of the Czech Republic and Spain
diplomová práce (OBHÁJENO)
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Trvalý odkaz
http://hdl.handle.net/20.500.11956/59848Identifikátory
SIS: 111991
Kolekce
- Kvalifikační práce [17642]
Autor
Vedoucí práce
Oponent práce
Princ, Michael
Fakulta / součást
Fakulta sociálních věd
Obor
Ekonomie a finance
Katedra / ústav / klinika
neurčeno
Datum obhajoby
30. 1. 2013
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Dobře
Klíčová slova (česky)
financial crisis, stock market, volatility spilloversKlíčová slova (anglicky)
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.