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Geopolitical risk and financial markets: trends, co-movements and effects
Jarina, Vesna ; Horváth, Roman (vedoucí práce) ; Vácha, Lukáš (oponent)
Tato práce zkoumá vliv geopolitického rizika na korelované pohyby na globál- ních akciov˝ch trzích a regionálních devizov˝ch trzích v období 1995-2023. S vyuûitím dvou nov˝ch p ístup , konkrétn co-exceedance v˝nos v rámci kvantilové regrese a modelu GDCCX-GARCH, docházíme k záv r m, ûe geopol- itické riziko má tendenci oslabovat extrémní co-exceedanci v˝nos a dynamické podmín né korelace v rámci t chto trh , a koli existuje n kolik v˝jimek z to- hoto chování. Dále zd raz ujeme v˝znam zohledn ní geopolitického rizika p i vytvá ení portfoliov˝ch strategií tím, ûe poskytujeme d kazy o vlastnostech principu zlata jakoûto bezpe ného p ístavu, odolnosti investic do isté energie a nár stu cen ropy v reakci na zv˝öené geopolitické riziko.
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Baltic Stock Market Integration
Stulga, Šarūnas ; Kočenda, Evžen (vedoucí práce) ; Novák, Jiří (oponent)
1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the...
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Baltic Stock Market Integration
Stulga, Šarūnas ; Kočenda, Evžen (vedoucí práce) ; Novák, Jiří (oponent)
1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the...
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Analýza dynamiky Beta koeficientu v CAPM modelu pomocí asymetrických modelů volatility a korelace.
Staňková, Tereza ; Frýd, Lukáš (vedoucí práce) ; Jiránek, Petr (oponent)
Cílem této práce je odhadnout dynamický vývoj koeficientu beta z modelu CAPM pro farmaceutický průmysl a zemědělství a otestovat vliv asymetrie v rozptylu a korelaci na odhad tohoto koeficientu. Pro odhad dynamického vývoje beta koeficientu byla použita metoda OLS rolling window, DCC od Engle (2002) a jeho asymetrická verze od Cappiello, Engle a Sheppard (2006). V případě zemědělství měla asymetrie v rozptylu i korelaci statisticky významný dopad na odhad beta koeficientu, v případě farmaceutického průmyslu se beta koeficienty z těchto modelů lišily pouze v kratších časových úsecích s vysokou volatilitou. Dále byla zjištěna lepší schopnost predikce dynamické bety během krizí z těchto modelů oproti betě z databáze Damodarana.
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