Detail práce

Interconnectedness of capital markets during the financial crisis

Autor: Mgr. Soňa Kocholová, BA
Rok: 2016 - letní
Vedoucí: PhDr. Petr Gapko Ph.D.
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 97
Abstrakt: We study the interconnectedness between the United States and thirty three international stock markets
during the period of January 2003 to December 2012, with an emphasis on the global financial crisis of
autumn 2008. By applying the DCC-GARCH model, our results show evidence of the increase in
correlation during the period of crisis. The largest increase was reported for Argentina and India. The
average increase was 0.164. Within the sample period, the US stock market was found to be the most
correlated with markets of Brazil, Canada, France, Germany, Euro Area and Mexico and the least
correlated with markets of China, Malaysia and New Zealand. In the second part of the thesis we study
the relationship between the four selected markets (China, Euro Area, Japan and United States) and
macroeconomic variables (exchange rate, total trade, industrial production and interest rates). The
markets show positive relationship with the exchange rate, trade and the industrial production. The
interest rate does not reveal any specific, negative nor positive, relationship. We conclude that more
indices respond to a shock in one index in a very similar way.


Česká Spořitelna


Patria Finance