Detail práce

Coexceedance in financial markets of countries trying to join the European Union

Autor: Mgr. Zuzana Baranová
Rok: 2018 - letní
Vedoucí: prof. Roman Horváth Ph.D.
Konzultant:
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 76
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/185566/
Abstrakt: This thesis analyses financial contagion between a reference EU market – Germany and markets
of five countries which are actively seeking to become a part of European Union – Montenegro,
Serbia, Turkey, Bosnia and Macedonia in the period of March 2006 to March 2018. We apply
quantile regression framework to analyse contagion which we base on the occurrence and degree
of coexceedances between the reference and analysed market. The results indicate that contagion
between stock markets exists, however in different degree for each of the analysed markets. In
addition we apply the regression framework specifically for period of financial crisis of 2008 to
demonstrate that contagion is stronger during turbulent market periods.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY