Comovement of Stock Markets and Commodities: A Wavelet Analysis
|Author:||Mgr. Vavřina Marek|
|Year:||2013 - summer|
|Leaders:|| Mgr. Lukáš Vácha Ph.D.
|Work type:|| Doctoral
|Awards and prizes:|
|Abstract:||The thesis applies the wavelet analysis to four developed stock market indices (USA, UK,
Germany and Japan), four developing stock market indices (Brazil, China, India, Russia) and four
commodities (Gold, Crude oil, Heating oil and Natural gas) and it aims to reveal how they
comoved in the period of the Global financial crisis, which began in the USA as the Subprime
mortgage crisis. Also the potential presence of contagion caused by the bankruptcy of Lehman
Brothers bank is investigated. In addition the Granger causality test is applied to give a different
perspective and to extend the analysis.
Empirical results revealed that the wavelet correlation of stock markets and commodities differ
significantly when talking about the short-term and the long-term horizon. This information can
be utilized in the portfolio analysis. The wavelet analysis revealed contagion coming from the
USA to the German and Brazil stock market, Crude oil and Heating oil market after the
bankruptcy of Lehman Brothers. The Granger causality test indicates that there is a very strong
causal relationship between stock markets and commodities and it differs at different scales.