Volatility Spillovers in New Member States: A Bayesian Model
|Author:||Mgr. Radek Janhuba|
|Year:||2012 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis.
|Abstract:||Volatility spillovers in stock markets have become an important phenomenon,
especially in times of crises. Mechanisms of shock transmission from one market
to another are important for the international portfolio diversification. Our
thesis examines impulse responses and variance decomposition of main stock indices
in emerging Central European markets (Czech Republic, Poland, Slovakia
and Hungary) in the period of January 2007 to August 2009. Two models are
used: A vector autoregression (VAR) model with constant variance of residuals
and a time varying parameter vector autoregression (TVP-VAR) model
with a stochastic volatility. Opposingly of other comparable studies, Bayesian
methods are used in both models. Our results confirm the presence of volatility
spillovers among all markets. Interestingly, we find significant opposite transmission
of shocks from Czech Republic to Poland and Hungary, suggesting that
investors see the Central European exchanges as separate markets.
|Downloadable:|| Diploma Theses of Janhuba