|
|
Comovements of Central European Stock Markets: What Does the High Frequency Data Tell Us?
Roháčková, Hana ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
In this thesis, we inquire interdependencies and comovements between CEE capital markets within each other. German market is also included in the analysis as a benchmark to CEE capital markets. We have chosen German capital market as it represents more developed market from the same geographical region. We study a unique high-frequency dataset of 5 minutes, 30 minutes and 1 hour data frequencies covering the the crisis period and post-crisis "tranquil" period. Daily data frequency is also involved in the analysis. Using different econometric techniques, we found no steady long-term relationships among stock market indices. The only strong relationship was detected between the DAX and WIG20 indices during both crisis and "tranquil" periods. The frequency of interactions changed across periods. The strongest interdependencies were recognized in 5 minute data frequency which indicates fast reactions between markets. Information inefficiency was revealed between markets according to cointegration tests in most cases.
|
|
|
Three Essays on Central European Foreign Exchange Markets
Moravcová, Michala ; Horváth, Roman (advisor) ; Komárek, Luboš (referee) ; Baumohl, Eduard (referee) ; Pappas, Vasileios (referee)
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...
|
|
|
Comovements of Central European Stock Markets: What Does the High Frequency Data Tell Us?
Roháčková, Hana ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
In this thesis, we inquire interdependencies and comovements between CEE capital markets within each other. German market is also included in the analysis as a benchmark to CEE capital markets. We have chosen German capital market as it represents more developed market from the same geographical region. We study a unique high-frequency dataset of 5 minutes, 30 minutes and 1 hour data frequencies covering the the crisis period and post-crisis "tranquil" period. Daily data frequency is also involved in the analysis. Using different econometric techniques, we found no steady long-term relationships among stock market indices. The only strong relationship was detected between the DAX and WIG20 indices during both crisis and "tranquil" periods. The frequency of interactions changed across periods. The strongest interdependencies were recognized in 5 minute data frequency which indicates fast reactions between markets. Information inefficiency was revealed between markets according to cointegration tests in most cases.
|
guest ::
