Detail práce

International Stock Market Co movements and the Global Financial Crisis

Autor: Bc. Petr Poldauf
Rok: 2011 - letní
Vedoucí: prof. Roman Horváth Ph.D., ČSOB Corporate Chair
Konzultant:
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 82
Ocenění: Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek.
Odkaz:
Abstrakt: This thesis investigates development of co-movements among international equity
returns at the market and industry level over the period 2000 { 2010. Emphasis is
put on the in
uence of the Global Financial Crisis of 2008/2009. We analyze daily
data from major markets in Australia, Brazil, Canada, China, Germany, Japan,
Russia, South Africa, the UK, and the USA using GARCH family of models. We
nd that there are still weakly correlated markets and the in
uence of the Crisis
di ers from country to country. The sectoral indices, including the nancial sector,
were signi cantly less correlated than the market indices over the whole period.
Ke stažení: Bakalářská práce Poldaufa

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF
EY