Work detail

The effect of exchange rate changes on stock market volatility in New Member states

Author: Bc. Radek Janhuba
Year: 2010 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 50
Awards and prizes:
Link:
Abstract: This thesis examines whether currency exchange rate changes play any role in determination of stock market volatility in the EU's New Member states. Using the daily data of six Central and Eastern European countries, we run a GARCH model including the exchange rate variable into the volatility equation. Using a TARCH model we also examine whether the magnitude of stock market volatility depends on the direction of last innovation. The results suggest that an exchange rate depreciation will boost stock market volatility in Czech Republic, Hungary and Poland, whereas the same applies for currency appreciation in Romania. The various results for various countries are in line with the previous research.
Downloadable: Bachelor Thesis of Janhuba

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