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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Dynamics of the volume-volatility relationship in the currency markets
 Tůma, Adam ; Baruník, Jozef (advisor) ; Komárek, Luboš (referee)
This work investigates the volume-volatility relationship dynamics in the currency markets using data of five currency pairs in the period between 2010 and 2022. By employing multiple specifications of the HAR model with volume- related regressors and also with time-varying parameters (TVP), we examine the relationships' changing dynamics over time with a focus on improving volatility forecasting performance. Our main findings suggest a strong correlation between volume and volatility. The TVP-HARV model shows significantly changing dy- namics of the volume-volatility relationship, especially during periods affected by politics, changing monetary policies or global crises. The proposed models, however, do not improve out-of-sample volatility forecasting performance com- pared to the benchmark HAR model. The causal effect in the volume-volatility relationship in the currency markets is slightly more substantial in the direction of volatility towards volume, where we find slight forecasting improvements. Our findings conclude that volume and volatility in the currency markets are mainly moving simultaneously with a very strong correlation and much weaker and often insignificant causal effects on both sides, which supports the mixture of distributions hypothesis.
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Analysis of the US stock market during the COVID-19 pandemic
 Tůma, Adam ; Krištoufek, Ladislav (advisor) ; Fanta, Nicolas (referee)
This work investigates the effect of the COVID-19 pandemic on the S&P 500 stock index and its eleven sectors. Employing the ARMA and the T-GARCH model on a time series of daily returns from 2018 until March 2021, we examine the impact on volatility, returns, and day-of-the-week effect during the stock market crash caused by the pandemic and the period after. Our main findings imply that in the case of returns, the Monday effect was more negative than the Friday effect during the market crash and vice versa in the rising market after the crash. Concluding that the calendar time hypothesis holds for the observed periods. In terms of volatility, it drastically increased across the US stock market during and even after the crash. The increase was especially noticeable for the IT and Energy sectors. We also found the U-shaped daily volume pattern changed significantly with proportionately less volume of trades happening in the first half-hour of trading and more throughout the whole day.
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See also: similar author names
2 Tůma, Aleš
2 Tůma, Antonín
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