Work detail

Behaviour of Stocks on the Prague Stock Exchange During the Financial Crisis: Evidence from Empirical Research

Author: Bc. Oldřich Koza
Year: 2011 - summer
Leaders: doc. PhDr. Petr Teplý Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 55
Awards and prizes: B.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance
Link:
Abstract: This work studies the behaviour of the four most traded stocks on the
Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe
how the financial crisis influenced the Prague Stock Exchange. Employing standard
statistical methods, ARMA, GARCH, and VAR models I examine on daily data the
following phenomena: volatility, price jumps, the day of the week effect, validity of
the efficient market hypothesis, and information flow between the stocks. The results
imply that the financial crisis had stronger impact on the banking sector stocks than
on other stocks. The crisis was mainly characterized by rapid growth in volatility and
correlation between the stocks. It also influenced the information flow and the day of
the week effect. However, the crisis did not trigger growth in the number of extreme
price movements, and it did not cause the market to be less information efficient.
Downloadable: Bachelor Thesis of Koza

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