Original title: Geopolitické riziko a finanční trhy: trendy, spoluhnutí a efekty
Translated title: Geopolitical risk and financial markets: trends, co-movements and effects
Authors: Jarina, Vesna ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
Document type: Master’s theses
Year: 2023
Language: eng
Abstract: [eng] [cze]
This thesis explores the impact of geopolitical risk on cross-market co-movements in both global stock markets and regional foreign exchange markets over the period of 1995-2023. Employing two novel approaches, namely the return co- exceedances within the quantile regression framework and the GDCCX-GARCH model, our findings reveal that geopolitical risk has a tendency to weaken ex- treme return co-exceedances and dynamic conditional correlations within these markets, although there are few exceptions from this behaviour. Additionally, we emphasize the significance of considering geopolitical risk when building portfolio strategies by providing evidence for gold's hedging and safe haven properties, the resilience of clean energy investments, and the rise in crude oil prices in response to heightened geopolitical risk. Tato práce zkoumá vliv geopolitického rizika na korelované pohyby na globál- ních akciov˝ch trzích a regionálních devizov˝ch trzích v období 1995-2023. S vyuûitím dvou nov˝ch p ístup , konkrétn co-exceedance v˝nos v rámci kvantilové regrese a modelu GDCCX-GARCH, docházíme k záv r m, ûe geopol- itické riziko má tendenci oslabovat extrémní co-exceedanci v˝nos a dynamické podmín né korelace v rámci t chto trh , a koli existuje n kolik v˝jimek z to- hoto chování. Dále zd raz ujeme v˝znam zohledn ní geopolitického rizika p i vytvá ení portfoliov˝ch strategií tím, ûe poskytujeme d kazy o vlastnostech principu zlata jakoûto bezpe ného p ístavu, odolnosti investic do isté energie a nár stu cen ropy v reakci na zv˝öené geopolitické riziko.
Keywords: co-exceedance; dynamic conditional correlation; geopolitical risk; market co-movements; wavelet coherence analysis; co-exceedance; dynamická podmíněná korelace; geopolitické riziko; korelované pohyby; waveletová koherenční analýza

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/186182

Permalink: http://www.nusl.cz/ntk/nusl-535864


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses