Work detail

Spillovers between low and high risk assets during business cycle

Author: Mgr. Jan Matyáš
Year: 2017 - summer
Leaders: doc. PhDr. Ladislav Krištoufek Ph.D.
Work type: Finance, Financial Markets and Banking
Language: English
Pages: 85
Awards and prizes:
Abstract: This master thesis examines linkages among bond and stock markets in Germany,
Austria and Italy. For the purpose of analysis of return spillovers, we use
Spillover index framework which enables us to describe development of intermarket
linkages over time. The data used in the study includes the period
from January 2nd, 1998 to May 23rd, 2017 which allows us to estimate longterm
development of spillovers among markets. We find unequal link between
stocks and bonds and increase in co-integration of markets during the financial
crisis of 2007-2008 with significant persistence after the crisis. Mechanism of
transmission of financial shocks among European countries is affected by economic
and political integration of countries. We identify strong interlinkages
of markets with substantial influence of Italian assets in transmitting shocks
to German and Austrian assets, especially during periods of economic distress.
On the other hand, Germany represents an open economy that is increasingly
integrated to other markets. Scale of return spillovers is highly dependent on
economic situation which is evident from clustering of high spillovers during
recessions and a great deal of persistence of these interdependencies


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