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Behaviour of Stocks on the Prague Stock Exchange: During the Financial Crisis: Evidence from Empirical Research - Couverture souple

Koza, Oldřich

 
9783847313175: Behaviour of Stocks on the Prague Stock Exchange: During the Financial Crisis: Evidence from Empirical Research
Couverture souple
ISBN 10 : 3847313177 ISBN 13 : 9783847313175
Editeur : LAP LAMBERT Academic Publishing, 2011

Synopsis

This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient.

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Présentation de l'éditeur

This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient.

Biographie de l'auteur

Koza, Oldrich. Behaviour of stocks on the Prague Stock Exchange During the FinancialCrisis: Evidence from Empirical Research, Prague, 2011. Bachelor’s thesis, Institute of Economic Studies, Faculty of Social Sciences,Charles University, Czech Republic. Supervisor:PhDr. Petr Teplý Ph.D.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3847313177
ISBN 13 
9783847313175
Reliure
Broché
Nombre de pages
60
Coordonnées du fabricant
non disponible
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