National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Essays on Stock Market Integration and on the Curse of Natural Resources
Černý, Alexandr ; Filer, Randall (advisor) ; Gylfason, Thorvaldur (referee) ; Podpiera, Richard (referee)
The thesis contains three essays, each of which calls into question generally accepted empirical results through the use of more appropriate data or econometric techniques. In the first essay using a unique dataset covering two years of high frequency data on the indices from markets in the U.S., London, Frankfurt, Paris, Warsaw, Prague, and Budapest I perform Cointegration and Granger causality tests with data of frequencies ranging from 5 minutes to 1 day. The aim is to describe the time structure in which markets react to the information revealed in prices on other markets. The results suggest that the speed of information transmission is very fast and that the use of daily data may be misleading when analyzing the issues of stock market integration and information transmission among markets. The other two essays focus on the curse of natural resources. In the second essay I test the robustness of the curse of natural resources with respect to various measures of the quality of democracy and regime stability. I also employ smoothed least trimmed squares, a robust estimation procedure, to estimate the curse. The often stressed robustness of the curse of natural resources is confirmed. The evidence presented indicates that the intensity of the curse depends on the level of civil liberties. In the...

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