Translated title: Effects of the Financial Crisis on Stock Market of the Czech Republic and Spain
Authors: Titizov, Toško ; Avdulaj, Krenar (advisor) ; Princ, Michael (referee)
Document type: Master’s theses
Year: 2013
Language: eng
Abstract: The 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.
Keywords: financial crisis; stock market; volatility spillovers; financial crisis; stock market; volatility spillovers

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/59848

Permalink: http://www.nusl.cz/ntk/nusl-329137


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses