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Connectedness and spillover effects between forex and stock markets: Evidence from Scandinavia
Název práce v češtině: Účinky propojení a přelévání mezi devizovým a akciovým trhem: Důkazy ze Skandinávie
Název v anglickém jazyce: Connectedness and spillover effects between forex and stock markets: Evidence from Scandinavia
Klíčová slova: Volatility, Spillover, Connectedness, Frequency, Forex market, Stock market
Klíčová slova anglicky: Volatility, Spillover, Connectedness, Frequency, Forex market, Stock market
Akademický rok vypsání: 2017/2018
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: prof. Ing. Evžen Kočenda, M.A., Ph.D., DSc.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 04.05.2018
Datum zadání: 04.05.2018
Datum a čas obhajoby: 17.09.2019 09:00
Místo konání obhajoby: Opletalova - Opletalova 26, O105, Opletalova - místn. č. 105
Datum odevzdání elektronické podoby:07.06.2019
Datum proběhlé obhajoby: 17.09.2019
Oponenti: doc. PhDr. Adam Geršl, Ph.D.
 
 
 
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Předběžná náplň práce
In this thesis, we study the return and volatility spillovers between forex and stock markets in Scandinavian countries employing recently developed methodology of spillover indices. Those measures are based on forecast error variance decomposition of generalized vector autoregressive (GVAR) model. This allows us to estimate both total and directional spillovers. Moreover, frequency connectedness analysis is conducted by decomposing the spillover indices into frequency bands, corresponding to short-, medium- and long-run connectedness. We used daily data for major stock market indices and exchange rates of domestic currency towards US dollar for Norway, Sweden, Denmark and Finland. Our data spans from February 2002 till July 2018 that covers turmoil periods of global financial crisis in 2007-2009, European sovereign debt crisis 2010-2013 and Brexit referendum in mid 2016. Our empirical analysis reveals that Norwegian financial markets do not contribute much to both return and volatility spillovers. On the other hand, euro and Danish FX market perform very similarly, by exhibiting the highest spillover contributions for both returns and volatility. Furthermore, distinct increasing trends in spillovers are revealed during the turmoil periods for most of the markets. From frequency connectedness analysis, we inspect high short-run return connectedness for the whole period of time. For volatility, shortrun connectedness is prevailing over long-run in normal times, while the pattern inverses during turmoil periods.
Předběžná náplň práce v anglickém jazyce
In this thesis, we study the return and volatility spillovers between forex and stock markets in Scandinavian countries employing recently developed methodology of spillover indices. Those measures are based on forecast error variance decomposition of generalized vector autoregressive (GVAR) model. This allows us to estimate both total and directional spillovers. Moreover, frequency connectedness analysis is conducted by decomposing the spillover indices into frequency bands, corresponding to short-, medium- and long-run connectedness. We used daily data for major stock market indices and exchange rates of domestic currency towards US dollar for Norway, Sweden, Denmark and Finland. Our data spans from February 2002 till July 2018 that covers turmoil periods of global financial crisis in 2007-2009, European sovereign debt crisis 2010-2013 and Brexit referendum in mid 2016. Our empirical analysis reveals that Norwegian financial markets do not contribute much to both return and volatility spillovers. On the other hand, euro and Danish FX market perform very similarly, by exhibiting the highest spillover contributions for both returns and volatility. Furthermore, distinct increasing trends in spillovers are revealed during the turmoil periods for most of the markets. From frequency connectedness analysis, we inspect high short-run return connectedness for the whole period of time. For volatility, shortrun connectedness is prevailing over long-run in normal times, while the pattern inverses during turmoil periods.
 
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