Název: Účinky propojení a přelévání mezi devizovým a akciovým trhem: Důkazy ze Skandinávie
Překlad názvu: Connectedness and spillover effects between forex and stock markets: Evidence from Scandinavia
Autoři: Mkhitaryan, Arman ; Kočenda, Evžen (vedoucí práce) ; Geršl, Adam (oponent)
Typ dokumentu: Diplomové práce
Rok: 2019
Jazyk: eng
Abstrakt: In this thesis, we study the return and volatility spillovers between forex and stock markets in Scandinavian countries employing recently developed method- ology of spillover indices. Those measures are based on forecast error variance decomposition of generalized vector autoregressive (GVAR) model. This allows us to estimate both total and directional spillovers. Moreover, frequency connect- edness analysis is conducted by decomposing the spillover indices into frequency bands, corresponding to short-, medium- and long-run connectedness. We used daily data for major stock market indices and exchange rates of domestic cur- rency towards US dollar for Norway, Sweden, Denmark and Finland. Our data spans from February 2002 till July 2018 that covers turmoil periods of global fi- nancial crisis in 2007-2009, European sovereign debt crisis 2010-2013 and Brexit referendum in mid 2016. Our empirical analysis reveals that Norwegian financial markets do not contribute much to both return and volatility spillovers. On the other hand, euro and Danish FX market perform very similarly, by exhibiting the highest spillover contributions for both returns and volatility. Furthermore, distinct increasing trends in spillovers are revealed during the turmoil periods for most of the markets. From frequency...
Klíčová slova: Connectedness; Forex market; Frequency; Spillover; Stock market; Volatility; Connectedness; Forex market; Frequency; Spillover; Stock market; Volatility

Instituce: Fakulty UK (VŠKP) (web)
Informace o dostupnosti dokumentu: Dostupné v digitálním repozitáři UK.
Původní záznam: http://hdl.handle.net/20.500.11956/110304

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-471485


Záznam je zařazen do těchto sbírek:
Školství > Veřejné vysoké školy > Univerzita Karlova > Fakulty UK (VŠKP)
Vysokoškolské kvalifikační práce > Diplomové práce