Detail práce

Financial Markets Comovements in Northern Europe

Autor: Bc. Lukáš Tomek
Rok: 2020 - letní
Vedoucí: PhDr. František Čech Ph.D.
Konzultant:
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 110
Ocenění:
Odkaz:
Abstrakt: In this bachelor thesis, we study conditional correlation of various sector indices on the stock markets in Northern Europe, namely in Stockholm, Helsinki,
Copenhagen and composite indices for Baltic countries. To model conditional
correlations, we employ DCC-GARCH framework estimated by maximum likelihood estimator. Validation of estimated models is based on residuals. We
discovered that there is low level of correlation between Nordic and Baltic countries and that some sectors exhibits very high level of correlation, while other
tends to have correlation close to zero or even negative for some time periods. Moreover, we observe that some industries have very persistent correlation
structure, while others tends to react to the price shocks drastically.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance