Behaviour of Stocks on the Prague Stock Exchange During the Financial Crisis: Evidence from Empirical Research
| Název práce v češtině: | Behaviour of Stocks on the Prague Stock Exchange During the Financial Crisis: Evidence from Empirical Research |
|---|---|
| Název v anglickém jazyce: | Behaviour of Stocks on the Prague Stock Exchange During the Financial Crisis: Evidence from Empirical Research |
| Klíčová slova: | Burza cenných papírů Praha, finanční krize, ARMA, GARCH, VAR, hypotéza efektivních trhů, vliv dne v týdnu, Grangerova kauzalita, Boxova-Jenkinsonoca metodologie |
| Klíčová slova anglicky: | Prague Stock Exchange, financial crisis, ARMA, GARCH, VAR, efficient market hypothesis, day of the week effect, Granger causality, Box-Jenkins methodology |
| Akademický rok vypsání: | 2010/2011 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | prof. PhDr. Petr Teplý, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 20.05.2011 |
| Datum zadání: | 20.05.2011 |
| Datum a čas obhajoby: | 14.06.2011 00:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 20.05.2011 |
| Datum proběhlé obhajoby: | 14.06.2011 |
| Oponenti: | prof. PhDr. Ladislav Krištoufek, Ph.D. |
| Zásady pro vypracování |
| This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient.
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| Seznam odborné literatury |
| Kočenda, E., Černý, A. Elements of Time Series Econometrics: An Applied Approach. First edition. Praha: Karolinum, 2007. ISBN: 978-80-246-1370-3
Hamilton, J. D. Time Series Analysis. First edition. New Jersey: Princeton University Press, 1994. ISBN: 978-0-691-04289-3 Dacorogna, M. M. et al. An Introduction to High Frequency Finance. San Diego: Academic Press, 2001. ISBN: 0-12-279671-3 Hull, J. C. Options, Futures and Other Derivatives. Sixth Edition. New Jersey: Pearson Prentice Hall, 2006. ISBN: 0-13-149908-4 Elder, A. Tradingem k bohatství. Praha: Grada, 2008 ISBN: 80-239-7048-8 O’Hara, M. Market Microstructure Theory. Cambridge: Blackwell Publishers, 1995. ISBN: 1557864438 |
| Předběžná náplň práce |
| 1. The Prague Stock Exchange, its structure and description
2. Stocks on the Prague Stock Exchange 3. Data sample and time series of the traded stocks 4. Univariate time series: ARMA models, GARCH models 5. Box-Jenkins and Granger methodology 6. Multivariate time series: VAR models, Granger causality 7. Hypotheses to test: validity of the efficient market hypothesis, information flow between the stocks, and the effect of the financial crisis on the stocks |
| Předběžná náplň práce v anglickém jazyce |
| This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient. |