Detail práce

CEE stock market comovements: An asymmetric DCC analysis

Autor: Mgr. Dritan Gjika
Rok: 2013 - zimní
Vedoucí: prof. Roman Horváth Ph.D., ČSOB Corporate Chair
Typ práce: Diplomová
Jazyk: Anglicky
Stránky: 60
Ocenění: Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek.
Abstrakt: We investigate the interdependence among three CEE stock markets and between
CEEs vis–à–vis euro area, using daily data from 2001–2011. Initially,
we estimate bivariate ADCC models. Then, OLS regressions are employed to
understand the evolution of correlations in time and during the recent financial
crises. Finally, we examine the relationship between correlations and volatilities
using the simple OLS model and the rolling stepwise regression methodology.
Our results indicate that 3 out of 4 series exhibit asymmetries in conditional
variances, while only 1 pair out of 6 exhibit asymmetries in correlations. We
found that correlations are increased over time and during the recent financial
crises for both pairs (CEEs–CEEs and CEEs–eurozone). However, the highest
increase is observed for CEEs–eurozone. Mainly, we found a positive relationship
between correlations and volatilities, even though this relationship is
niether constant in time nor strictly positive or negative during all the sample
period, but rather time–varying with periods of being higher or lower than zero.
Ke stažení: DP Gjika


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