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Modelling and comperative analysis of volatility spillover between US, Czech Republic and Serbian stock markets
Marković, Jelena ; Pečená, Magda (advisor) ; Adam, Tomáš (referee)
MASTER THESIS MODELLING AND COMPARATIVE ANALYZES OF VOLATILITY SPILLOVER BETWEEN US, CZECH REPUBLIC AND SERBIAN STOCK MARKETS Abstract This paper estimates Serbian, Czech and US stock markets volatility. Few studies analyzed stock market linkages for these three markets. The mean equation is estimated using the vector auto- regression model. The second moments is further estimated using different multivariate GARCH models. We find that current conditional volatilities for each stock is highly affected by the past innovations. Cross-market correlations are significant as well. However, there is a higher conditional correlation between Czech and US stock market indices compared to the conditional correlation between Serbian and US stock indices.
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Modelling and comperative analysis of volatility spillover between US, Czech Republic and Serbian stock markets
Marković, Jelena ; Pečená, Magda (advisor) ; Adam, Tomáš (referee)
MASTER THESIS MODELLING AND COMPARATIVE ANALYZES OF VOLATILITY SPILLOVER BETWEEN US, CZECH REPUBLIC AND SERBIAN STOCK MARKETS Abstract This paper estimates Serbian, Czech and US stock markets volatility. Few studies analyzed stock market linkages for these three markets. The mean equation is estimated using the vector auto- regression model. The second moments is further estimated using different multivariate GARCH models. We find that current conditional volatilities for each stock is highly affected by the past innovations. Cross-market correlations are significant as well. However, there is a higher conditional correlation between Czech and US stock market indices compared to the conditional correlation between Serbian and US stock indices.
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Impact of Economic Crisis Announcements on BRIC Market Volatility
Srnic, Stefan ; Baruník, Jozef (advisor) ; Šopov, Daniel (referee)
In this thesis, we aim to find the effect of economic crisis announcements arising from the US subprime mortgage crisis and European sovereign debt crisis on the market volatility in theBRIC countries. We implement a GARCH model in order to compare the effect of individual news announcements and find that the US crisis had a bigger impact on BRIC market volatility than the European crisis. Of particular note, we find the US bailout had a higher impact than the failure of Lehman Brothers or any European crisis dates that were considered. We then examine the volatility transmission mechanism by implementing a VAR model to create a spillover index. Following, we apply a rolling window approach, creating spillover plots which show that both return and volatility spillovers are affected by crisis announcements. The importance of our results are related to investor decision making, particularly the relationship between market return and risk in developing country markets. Far to our knowledge, no recent literature has compared the two crises in the way we have nor with the datasets we have used.
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The Causes of Formation of the Price Bubbles in the Capital Markets
Šimíček, Petr ; Dočkal, Dalibor (advisor) ; Řežábek, Pavel (referee)
This study analyses, why and how price bubbles are made on the capital markets, how different economical theories see their development and implications, how these theories could predict them and which impact bubbles have on the economy as whole and separated markets. Special accent is given on the paradigm of the behavioral finance, theories flowing from the Austrian school, fundamental analysis and other indirect factors. These problems are (in connection with nowadays world financial crisis) widely discussed among economists. The problem of price bubbles was in focus during 20's, 30's, 70's and 90's. The last part tries to find out a difficult way, how to prevent bubbles and what possibilities are during the attempts to find them. This paper operates with deduction and economical analysis method. Conclusion summarizes the results and tries to outline future development.
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Agent based models of financial markets - rationality and social networks
Popadinec, Martin ; Burian, Jan (advisor) ; Berka, Petr (referee)
In the thesis we focus on involving Agent-based models in modeling financial markets. In Agent-based models of economical systems, often called Agent-based computational economics (ACE), market price is established by actions and interactions of autonomous agents using heuristics or simple decision-making rules. This approach to modeling of financial markets provide us with better understanding of establishing market price then aggregate economical models which focuses exclusively on societally "optimal" equilibria assuming that they are achieved by informed and rational behavior of people. The thesis consists of two main parts. The first one, theoretical, is an introduction to agent based modeling, bounded rationality and social network Our concern in the second part of the thesis is a model of volatility on financial markets. This model is interesting example of agent based approach to creating economical models. However it contains some non-realistic assumption from which the most controversial is the space where agents interacts -- two dimensional lattice. In this part of the work the model is converted from two dimensional lattice to the networks which better corresponds to real social networks but we also experiment with another extension of the agent's decision-making function. The intended outcome of the work is verifying the quality of the model, to learn the effect of our model extensions on price volatility, overview of attributes of the particular networks and discussion whether such models could provide some valuable information to the economist which are interested in financial markets.
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