Stock Markets Contagion in the Western and Central European Region during Subprime crisis
|Author:||Mgr. Lenka Pechová|
|Year:||2010 - summer|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Financial Markets
|Awards and prizes:|
|Abstract:||The topic of financial contagion is growing in importance as the financial markets are integrating and becoming global. In my work I test contagion between stock markets in Central Europe (Czech Republic, Hungary and Poland), markets in Western Europe (Euro zone, France, Germany and UK) and U.S. I use two types of model to test the data from ongoing subprime crisis. The first one is parametrical model that uses the correlation coefficients obtained from VAR regression, based on paper by Forbes and Rigobon 2003. The second one is non parametrical model that uses the Kendall´s tau approach to measure the comovements of the stock markets based on paper by Li (2009). In the work is also provided overview of theoretical and empirical literature that is focused on contagion and related topics.|