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Tržné prepojenia: Čínsky vplyv na globálne finančné trhy
Horniaková, Veronika ; Stádník, Bohumil (advisor) ; Janda, Karel (referee)
Thesis is looking into the current issue of financial market integrations and linkages between them. In recent year, the topic of China has been emerging to the forefront of academic research, therefore the focus of this paper is dedicated to the integration of Chinese market. The goal is to establish whether there exists an interdependency between Chinese and world stock markets and evaluate and analyse potential influence of China on world indices. The theory standing behind financial integration suggests that individual markets are becoming mutually dependant. Chinese efforts to become a part of global economy gradually become successful which creates room for academic research. This paper focuses on stock indices of two Chinese stock markets in relation to American, English, Japanese, German, Dutch and French indices. Cross-correlation analysis, causal analysis and co-integration analysis are applied to individual indices in order to find the results.
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Financial Globalization and Macroeconomic Volatility: an Empirical Study of the Effects of Foreign Bank Presence on the Volatility of Consumption and Growth
Casula, Chiara ; Cahlík, Tomáš (advisor) ; Hlaváček, Jiří (referee)
Financial integration has been at the centre of a wide debate, especially with respect to its effects on stability, inequality and welfare. This thesis presents an empirical investigation on the relationship between financial integration and macroeconomic volatility. The present study takes advantage of the publication of a new database on integration in the banking industry, and estimates its effects on the volatility of output and consumption, on a set of 136 countries over the years 1996 to 2009, using regions and country fixed effects. The analysis focuses on the effect of foreign bank presence on macroeconomic volatility, and as a further application, on the effect of foreign bank assets on macroeconomic volatility. Furthermore, the present study will determine whether the findings change for Central and Eastern European Countries and the countries of the Commonwealth of Independent States. The main finding is that foreign bank presence is significantly related to the volatility of output, but it is not related to the volatility of private consumption growth. The original contribution of this paper is to empirically analyse data on foreign bank presence as proxies for financial integration, and to relate them to the volatility of output and consumption.
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Financial integration at times of financial instability
Babecký, Jan ; Komárek, Luboš ; Komárková, Zlatuše
This article analyzes the phenomenon of financial integration on both the theoretical and empirical levels, focusing primarily on assessing the impacts of the current financial crisis. In the theoretical section writers look at the definition of financial integration and summarize the benefits and costs associated with this process. The subsequent empirical section provides an analysis of the speed and level of integration of the Czech financial market and the markets of selected inflation-targeting Central European economies (Hungary and Poland) and advanced Western European economies (Sweden and the UK) with the euro area.
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