Posouzení vztahu mezi cenami ropy a akciovými trhy ve vybraných zemích
Loading...
Files
Downloads
4
Date issued
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Vysoká škola báňská – Technická univerzita Ostrava
Location
Signature
Abstract
The aim of the thesis is to establish the relationship between stock markets and oil market for the purposes of portfolio diversification. To achieve the goal, cointegration analysis is used in order to find a real long-term relationship between two variables. If a cointegrating relation is found, oil can not be used as an instrument to diversify the portfolio because both assets copy the same trend. However, if the cointegration relationship is not confirmed, oil can be used as a diversification tool in the investment portfolio.
Description
Subject(s)
Stock, Oil, Cointegration Analysis, Stacionarity, Linear Regression, ETF, Stock Index, Time Series, Unit Root.