International Stock Market Co movements and the Global Financial Crisis
| Author: | Bc. Petr Poldauf |
|---|---|
| Year: | 2011 - summer |
| Leaders: | prof. Roman Horváth Ph.D. |
| Consultants: | |
| Work type: | Bachelors |
| Language: | English |
| Pages: | 82 |
| Awards and prizes: | B.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance |
| Link: | |
| Abstract: | This thesis investigates development of co-movements among international equity returns at the market and industry level over the period 2000 { 2010. Emphasis is put on the in uence of the Global Financial Crisis of 2008/2009. We analyze daily data from major markets in Australia, Brazil, Canada, China, Germany, Japan, Russia, South Africa, the UK, and the USA using GARCH family of models. We nd that there are still weakly correlated markets and the in uence of the Crisis di ers from country to country. The sectoral indices, including the nancial sector, were signi cantly less correlated than the market indices over the whole period. |
| Downloadable: | Bachelor Thesis of Poldauf |
