The US Financial Market Uncertainty and Its Spillover to European Stock Markets
|Author:||Mgr. Richard Karolík|
|Year:||2021 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis studies the spillover of the financial market uncertainty arising
from the United States to three major European stock markets by analyzing
the impulse response functions that were estimated using the local projections
method. European stock markets are represented by their corresponding indices: the DAX 30 index for Germany, the CAC 40 for France, and the FTSE
100 for the United Kingdom. The results prove the existence of uncertainty
spillover from the United States into Europe with the negative relationship between the performance of a particular stock market and the uncertainty shock
emerging from the US. Additional analysis examines the response to uncertainty shock for the two subsamples based on the Lehman Brothers collapse.
The results show a possible interesting improvement in the ability to recover
from uncertainty shock since the collapse of Lehman Brothers and can serve as
a starting point for the further analyses in the field.