Volatility Spillovers and Response Asymmetry: Empirical Evidence from the CEE Stock Markets
|Author:||Mgr. Veronika Dovhunová|
|Year:||2014 - summer|
|Leaders:|| doc. PhDr. Jozef Baruník 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 excellent state-final examination performance.|
|Abstract:||In this thesis, we examine the volatility spillovers and its response asymmetry due to neg-
ative or positive shocks with the use of volatility spillover indices proposed by Baruník et al.
(2013). This novel methodology extends the original spillover index framework introduced by
Diebold & Yilmaz (2009) by utilizing the non-parametric measures of volatility based on the
high frequency data, the realized variance and realized semivariances. Our analysis is performed
on two datasets, the rst one covering the selected Central and Eastern European stock market
indices of the Czech Republic, Hungary and Poland, and the second one extending the original
sample by the inclusion of the German DAX index that represents the mature European stock
markets. The data employed in our study spans from January 2, 2008 to November 30, 2010,
thus covers the period of the recent global nancial crisis, from its outbreak to the early recovery
phases. In the static analysis, we nd the Czech stock market to transmit the highest amount of
volatility shocks to the other markets what might be attributed to the potential role of the Czech
market as a channel of volatility shocks transmission among the included and non-included stock
markets. Furthermore, the results of dynamic analysis reveal the presence of asymmetry in the
volatility spillovers due to negative and positive shocks to returns. We nd that, on average,
the contribution of negative shocks to volatility spillovers is higher compared with the positive
ones. In addition, the development pattern of the volatility spillover indices is found to coincide
with the main crisis events and to re ect the economic and financial situation on the markets.