Work detail

INTEGRATION OF FINANCIAL MARKETS. M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis.

Author: Mgr. Tereza Horáková
Year: 2008 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 141
Awards and prizes: M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis.
Link:
Abstract: In our thesis we offer an empirical analysis of relations between financial markets of the Czech Republic and the Euro area countries in the period between 1999 and 2008. We use the theoretical background of financial integration and existing research findings on it as groundwork for our analysis. In our empirical analysis we examine the similarities in volatility behavior and possible volatility transmissions to offer an additional perspective on the financial market interdependencies. Our methodology is based on the GARCH family of models that we use to assess the pattern and relationships between the conditional volatilities in the foreign exchange, equities and bond markets. Results of our empirical analysis did not allow us in most cases to conclude on significant volatility spillovers and therefore to confirm our hypothesis, which we formulated as existence of significant relationships between the Czech and Euro area financial markets in terms of their volatilities. However we believe that the indications that we have presented bring some additional insights on the interdependencies between the Czech and Euro area financial markets and their evolution over the past years. The correlations between the fluctuations indicate the strongest degree of interrelatedness in the foreign exchange market.
Downloadable: Diploma Thesis of Tereza Horáková
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