Trading Volume and Volatility in the US Stock Markets
| Název práce v češtině: | Trading Volume and Volatility in the US Stock Markets |
|---|---|
| Název v anglickém jazyce: | Trading Volume and Volatility in the US Stock Markets |
| Akademický rok vypsání: | 2012/2013 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | PhDr. Boril Šopov, M.Sc., LL.M. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 19.07.2013 |
| Datum zadání: | 19.07.2013 |
| Datum a čas obhajoby: | 16.06.2014 00:00 |
| Místo konání obhajoby: | ies |
| Datum odevzdání elektronické podoby: | 23.05.2014 |
| Datum proběhlé obhajoby: | 16.06.2014 |
| Oponenti: | Mgr. Hana Džmuráňová, Ph.D. |
| Kontrola URKUND: | |
| Seznam odborné literatury |
| Torben Gustav: Andersen Handbook of Financial Time Series
Thomas Mikosch: Modeling dependence and Tails of financial time series. Jeffrey Wooldrige: Introductory econometrics Bollerslev Tim : Generalizet autoregressive conditional heteroscedasticity Andrew C. Harvey: Dynamic Models for Volatility and Heavy Tails |
| Předběžná náplň práce |
| The work is predominantly going to be concerned about the trading volume and volatility in the US stock markets, basically figuring out the relationship between this two key concepts in finance.
I choose this topic because there are extensive discussions about the volatility and I find it important to shed light on the relationship between volatility and the trading volume, as one of the causes. I will try to construct rigorous model which could help us to investigace the relationship and comparing the results obtained from the empirical analysis with the theory of finance and our expectations. In the first part, the work is going to be concerned about the volatility modeling theory, followed by theoretical concepts that are to explain the relationship. In the second part we will conduct the empirical research, figuring out the estimation results and confronting the results with our expectations. |
| Předběžná náplň práce v anglickém jazyce |
| I choose this topic because there are extensive discussions about the volatility and I find it important to shed light on the relationship between volatility and the trading volume, as one of the causes. I will try to construct rigorous model which could help us to investigace the relationship and comparing the results obtained from the empirical analysis with the theory of finance and our expectations.
In the first part, the work is going to be concerned about the volatility modeling theory, followed by theoretical concepts that are to explain the relationship. In the second part we will conduct the empirical research, figuring out the estimation results and confronting the results with our expectations. |