velikost textu

Baltic Stock Market Integration

Upozornění: Informace získané z popisných dat či souborů uložených v Repozitáři závěrečných prací nemohou být použity k výdělečným účelům nebo vydávány za studijní, vědeckou nebo jinou tvůrčí činnost jiné osoby než autora.
Název:
Baltic Stock Market Integration
Typ:
Diplomová práce
Autor:
Mgr. Šarūnas Stulga
Vedoucí:
prof. Ing. Evžen Kočenda, Ph.D.
Oponent:
Jiří Novák, M.Sc., Ph.D.
Id práce:
201995
Fakulta:
Fakulta sociálních věd (FSV)
Pracoviště:
Institut ekonomických studií (23-IES)
Program studia:
Ekonomické teorie (N6201)
Obor studia:
Ekonomie a finance (MEF)
Přidělovaný titul:
Mgr.
Datum obhajoby:
19. 6. 2019
Výsledek obhajoby:
Výborně (A)
Jazyk práce:
Angličtina
Klíčová slova:
the stock market, financial crisis, time-series models, integration, cointegration, dynamic conditional correlation, total connectedness, frequency connectedness, Baltic countries
Klíčová slova v angličtině:
the stock market, financial crisis, time-series models, integration, cointegration, dynamic conditional correlation, total connectedness, frequency connectedness, Baltic countries
Abstract v angličtině:
1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the financial markets. JEL Classification G15, G12, C32, C22 Keywords the stock market, financial crisis, time-series models, integration, cointegration, dynamic conditional correlation, total connectedness, frequency connectedness, Baltic countries Author’s e-mail 62183752@fsv.cuni.cz Supervisor’s e-mail Evzen.Kocenda@fsv.cuni.cz
Dokumenty
Stáhnout Dokument Autor Typ Velikost
Stáhnout Text práce Mgr. Šarūnas Stulga 5.07 MB
Stáhnout Abstrakt anglicky Mgr. Šarūnas Stulga 130 kB
Stáhnout Posudek vedoucího prof. Ing. Evžen Kočenda, Ph.D. 359 kB
Stáhnout Posudek oponenta Jiří Novák, M.Sc., Ph.D. 324 kB
Stáhnout Záznam o průběhu obhajoby prof. Ing. Michal Mejstřík, CSc. 152 kB