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Volatility transmission during the petroleum market shock
Název práce v češtině: Přenos volatility během šoku na trhu s ropou
Název v anglickém jazyce: Volatility transmission during the petroleum market shock
Klíčová slova: Volatility, Connectedness, Spillovers, Crude Oil, Pandemic
Klíčová slova anglicky: Volatilita, Prepojenosť Trhov, Prelievanie, Ropa, Pandémia
Akademický rok vypsání: 2019/2020
Typ práce: bakalářská práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: Mgr. Lukáš Vácha, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 30.07.2020
Datum zadání: 30.07.2020
Datum a čas obhajoby: 07.09.2022 09:00
Místo konání obhajoby: Opletalova - Opletalova 26, O314, Opletalova - místn. č. 314
Datum odevzdání elektronické podoby:02.08.2022
Datum proběhlé obhajoby: 07.09.2022
Oponenti: Mgr. Josef Kurka
Kontrola URKUND:
Seznam odborné literatury
Barndorff-Nielsen, O., S. Kinnebrock, and N. Shephard (2010). Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, Chapter Measuring Downside Risk-Realised Semivariance. Oxford University Press

Baruník, J., Kočenda, E., Vácha, L., 2015. Volatility spillovers across petroleum markets. Energy Journal 36, 309-329

Baruník, J., Kočenda, E., Vácha, L., 2016a. Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? Journal of Financial Markets 27, 55-78

Diebold, F. X. and K. Yilmaz (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting 28 (1), 57-66.

Diebold, F. X. and K. Yilmaz (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics 182 (1), 119-134.

Kilian, L. (2008). Exogenous oil supply shocks: How big are they and how much do they matter for the U.S. economy? The Review of Economics and Statistics 90(2), 216–240.
Předběžná náplň práce v anglickém jazyce
Research question and motivation
This thesis analyses the volatility transmission of the petroleum market shock on stock markets during the Covid-19
Pandemic. The petroleum market, especially oil prices are considered to have significant implications on the U.S and global
economy (Kilian, 2008) and also the volatility transmission to and from the equity markets which are facing increasing
research interest (for example, Barunik, Kočenda Vácha, 2016).
The aim of this thesis is to analyse the unprecedented period of oil price shock on 20th April 2020 which resulted in negative
prices for the delivery of Western Texas Intermediate crude during May 2020. An understanding of these events plays a
crucial role for regulators, investors and investment managers. The correct assessment and comprehension of volatility
spillovers provides necessary information used in portfolio constructions and risk management.
The focus will be on 3 time periods: the period before April 2020, April 2020 and the period after April 2020. For the
analysis, high-frequency data from financial markets on the broad S&P500 index, as a representative of the U.S. economy,
will be used along with representatives of sectors according to Global Industry Classification Standards. Furthermore, I will
also pay attention to the VIX index, a proxy for the fear index.
Since measures to tackle the Covid-19 Pandemic play a vital role in petroleum market dynamics, I will continue to observe
the development of lockdowns in the global economy.

This thesis aims to contribute to the existing literature concerning the interconnectedness of financial markets, mainly
unexpected shocks in the prices of fundamental global commodities.
On the 20th April 2020, the price of WTI front-month contract closed at -37.63$ and while the previous day’s closing price
for this asset was 18.27$, the following day (21st April) the WTI front-month contract closing price was 10.01$.
Daily changes in closing prices for the 20th and 21st April resp. were apporximately: (-1,6%) and (-3%) for S&P 500 index,
(-1%) and (-3,4%) for NASDAQ Composite index, (-2,3%) and (-2,6%) for Dow Jones Industrial Average index, 0,52% and
(-4%) for DAX PERFORMANCE index
In addition, this thesis could contribute to understanding the change in risk relations among globally essential assets.

The methodology in analysing these volatility spillovers will be based on the method proposed by Baruník, Kočenda and Vácha in their paper Asymmetric connectedness of stocks: How does bad and good volatility spill over into the U.S. stock
market? (2016).
High-frequency data based on prices of the WTI will be analysed which is representative of the U.S economy and other main
representatives in the petroleum market.

● Introduction- Introduction to the topic of volatility and volatility spillovers.
● Literature review- Review of literature related to the topic.
● Methodology- Description of the method proposed by Barunik, Kočenda and Vácha (2016).
● Results:
○ The method applied to the aforementioned price time-series data and analysis of this application.
○ We would test the hypothesis that there is a significant increase of asymmetry of spillovers between the oil
and industries due to the Covid-19 Pandemic.
○ We would hypothesize that the negative spillover asymmetry from WTI significantly impacted the
petroleum market during the period of lockdowns.
○ We will estimate the direction of spillover from oil to fear index caused by the Covid-19 pandemic
● Conclusion- Summary of the data analysis and suggestions for further research.
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