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Fractional Cointegration of Daily High and Low Stock Prices
Dvořáková, Sylvie ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
In this thesis we provide unique empirical support for the fractional cointegration of daily high and low stock prices. The recently formalized fractionally cointegrated VAR model by Johansen and Nielsen (2012) is used due to its ability to capture both the cointegration between daily high and low stock prices and the long memory of their linear combination, the range. Daily high and low stock prices are of particular interest as they provide valuable information about range-based volatility, which is considered a highly efficient and robust estimator of volatility. We provide a comparison of the Czech PX index with the developed market indices (DAX, FTSE 100, S&P 500 and NIKKEI 225) during the 2003-2012 period as well as before and after the crisis. We find that the range of all indices displays long memory and is mostly in the non-stationary region (except for the ranges of the PX Index and NIKKEI 225 indices in the pre-crisis period). These findings provide evidence that volatility may not be a stationary process. No common pattern is detected among all five market indices and different behaviour is also observed in the pre-crisis and post-crisis periods.
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Fractional Cointegration of Daily High and Low Stock Prices
Dvořáková, Sylvie ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
In this thesis we provide unique empirical support for the fractional cointegration of daily high and low stock prices. The recently formalized fractionally cointegrated VAR model by Johansen and Nielsen (2012) is used due to its ability to capture both the cointegration between daily high and low stock prices and the long memory of their linear combination, the range. Daily high and low stock prices are of particular interest as they provide valuable information about range-based volatility, which is considered a highly efficient and robust estimator of volatility. We provide a comparison of the Czech PX index with the developed market indices (DAX, FTSE 100, S&P 500 and NIKKEI 225) during the 2003-2012 period as well as before and after the crisis. We find that the range of all indices displays long memory and is mostly in the non-stationary region (except for the ranges of the PX Index and NIKKEI 225 indices in the pre-crisis period). These findings provide evidence that volatility may not be a stationary process. No common pattern is detected among all five market indices and different behaviour is also observed in the pre-crisis and post-crisis periods.
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Fractional Cointegration of Daily High and Low Stock Prices
Dvořáková, Sylvie ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
In this thesis we provide unique empirical support for the fractional cointegration of daily high and low stock prices. The recently formalized fractionally cointegrated VAR model by Johansen and Nielsen (2012) is used due to its ability to capture both the cointegration between daily high and low stock prices and the long memory of their linear combination, the range. Daily high and low stock prices are of particular interest as they provide valuable information about range-based volatility, which is considered a highly efficient and robust estimator of volatility. We provide a comparison of the Czech PX 50 index with the developed market indices (DAX, FTSE 100, S&P 500 and NIKKEI 225) during the 2003-2012 period as well as before and after the crisis. We find that the range of all indices displays long memory and is mostly in the non-stationary region (except for the ranges of the PX 50 and NIKKEI 225 indices in the pre-crisis period). These findings provide evidence that volatility may not be a stationary process. No common pattern is detected among all five market indices and different behaviour is also observed in the pre-crisis and post-crisis periods.
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The influence of housing price development on household balance sheet empirical analysis for the Czech Republic
Dvořáková, Sylvie ; Seidler, Jakub (advisor) ; Jakubík, Petr (referee)
This study describes the topic of how housing prices influence households' consumption. We test the wealth effect hypothesis which postulates that change in housing or stock market wealth increases consumption. We provide empirical analysis of Czech aggregate data for 1998-2009 by combining the public databases of the Czech National Bank and Czech Statistical Office. To the best of our knowledge, this analysis on aggregate data is the first of its kind in the Czech Republic. We analyse the effect of change in housing prices on the consumption of both durable and non- durable goods employing the VAR and VEC models on quarterly seasonally adjusted data. We find a positive effect of both wealth components on both types of consumption. In case of non-durable goods consumption we estimate the cointegrating vector and conclude that the elasticity of non- durable goods consumption with respect to housing wealth (0.18) is over three times greater than with respect to stock market wealth (0.05). Keywords Households, housing prices, consumption, housing wealth, stock market wealth, VAR model, VECM
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