Spillovers between low and high risk assets during business cycle
| Autor: | Mgr. Jan Matyáš |
|---|---|
| Rok: | 2017 - letní |
| Vedoucí: | prof. PhDr. Ladislav Krištoufek Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 85 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/179407/ |
| Abstrakt: | This master thesis examines linkages among bond and stock markets in Germany, Austria and Italy. For the purpose of analysis of return spillovers, we use Spillover index framework which enables us to describe development of intermarket linkages over time. The data used in the study includes the period from January 2nd, 1998 to May 23rd, 2017 which allows us to estimate longterm development of spillovers among markets. We find unequal link between stocks and bonds and increase in co-integration of markets during the financial crisis of 2007-2008 with significant persistence after the crisis. Mechanism of transmission of financial shocks among European countries is affected by economic and political integration of countries. We identify strong interlinkages of markets with substantial influence of Italian assets in transmitting shocks to German and Austrian assets, especially during periods of economic distress. On the other hand, Germany represents an open economy that is increasingly integrated to other markets. Scale of return spillovers is highly dependent on economic situation which is evident from clustering of high spillovers during recessions and a great deal of persistence of these interdependencies |
