Comovements of Central European Stock Markets: What Does the High Frequency Data Tell Us?
|Author:||Mgr. Hana Roháčková|
|Year:||2011 - summer|
|Leaders:|| doc. PhDr. Jozef Baruník Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||In this thesis, we inquire interdependencies and comovements between CEE capital markets
within each other. German market is also included in the analysis as a benchmark to CEE
capital markets. We have chosen German capital market as it represents more developed
market from the same geographical region. We study a unique high-frequency dataset of 5
minutes, 30 minutes and 1 hour data frequencies covering the the crisis period and post-crisis
„tranquil“ period. Daily data frequency is also involved in the analysis.
Using different econometric techniques, we found no steady long-term relationships among
stock market indices. The only strong relationship was detected between the DAX and
WIG20 indices during both crisis and „tranquil“ periods. The frequency of interactions
changed across periods. The strongest interdependencies were recognized in 5 minute data
frequency which indicates fast reactions between markets. Information inefficiency was
revealed between markets according to cointegration tests in most cases.
|Downloadable:|| Diploma Thesis of Roháčková