Frequency connectedness and cross section of stock returns

• Název práce v češtině: Vliv frekvenční propojenosti akcií na tržní výnosy
• Název v anglickém jazyce: Frequency connectedness and cross section of stock returns
• Klíčová slova: propojenost, frekvence, spektrální analýza, systémové riziko, finanční síť
• Klíčová slova anglicky: connectedness, frequency, spectral analysis, systemic risk, financial network
• Akademický rok vypsání: 2017/2018
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: doc. PhDr. Jozef Baruník, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 28.01.2018
• Datum zadání: 28.01.2018
• Datum a čas obhajoby: 16.01.2019 08:30
• Místo konání obhajoby: Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206
• Datum odevzdání elektronické podoby: 04.01.2019
• Datum proběhlé obhajoby: 16.01.2019
• Oponenti: PhDr. Jiří Kukačka, Ph.D.

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Předběžná náplň práce

Práce bude zkoumat jak jsou sítě v různých investičních horizontech (krátkodobém, střednědobém a dlouhodobém) oceněny v rizikových prémiích aktiv. Hlavní hypotéza je, že vyšší propojenost se bude objevovat v dlouhé frekvenci, představující systémové riziko, které by mělo být oceněno a mělo by korespondovat vyšším výnosům. Naopak, možná bude některé akcie propojené více v krátkodobém období.
Práce bude stavět na nedávno navrženém přístupu k měření propojenosti mezi finančními proměnnými, která vzniká díky heterogenním frekvenčním odezvám na šoky (Baruník & Křehlík, 2018). Tento přístup staví na metodologie měření propojenosti, která byla představena autory Diebold a Yilmaz (2012) s využitím generalizovaného rozložení směrodatné odchylky (GFEVD).

Předběžná náplň práce v anglickém jazyce

This thesis will investigate how are networks formed on different investment horizons (short, medium, long run) priced in assets' risk premiums returns. The main hypothesis is that higher connectedness should occur in long run indicating systemic risk, that should be priced and therefore we should see higher returns of these stocks. In reverse, perhaps some stocks will be more connected in the short run. The thesis will build upon the recently proposed framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks (Baruník & Křehlík, 2018). The framework build on the methodology for measuring connectedness introduced by Diebold and Yilmaz (2012) using generalized forecast error variance decompositions (GFEVD).