Baltic Stock Market Integration
Integrace akciových trhů v baltických zemích
diplomová práce (OBHÁJENO)
Zobrazit/ otevřít
Trvalý odkaz
http://hdl.handle.net/20.500.11956/107720Identifikátory
SIS: 201995
Kolekce
- Kvalifikační práce [17128]
Autor
Vedoucí práce
Oponent práce
Novák, Jiří
Fakulta / součást
Fakulta sociálních věd
Obor
Ekonomie a finance
Katedra / ústav / klinika
Institut ekonomických studií
Datum obhajoby
19. 6. 2019
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Výborně
Klíčová slova (česky)
the stock market, financial crisis, time-series models, integration, cointegration, dynamic conditional correlation, total connectedness, frequency connectedness, Baltic countriesKlíčová slova (anglicky)
the stock market, financial crisis, time-series models, integration, cointegration, dynamic conditional correlation, total connectedness, frequency connectedness, Baltic countries1 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...