Ekonometrická analýza vzájemných vazeb akciových trhů zemí střední Evropy v kontextu finanční krize

Abstract

The aim of the thesis is to analyze the interdependence of the stock markets of Central Europe, represented by the Czech Republic, Poland and Hungary with the euro area and the USA in the period from 5. 1. 2004 to 30. 12. 2013 based on the weekly closing rates of stock indices PX, WIG 20, BUX, DAX 30 and S&P 500. Mutual links between stock markets are investigated using the correlation, regression and cointegration analysis, vector autoregression model and Granger causality. Due to the global economic crisis from 2007-2009 the reference period in the thesis is divided into the pre-crisis period, crisis period and post-crisis period. The work is divided into theoretical and practical parts. In the theoretical part are characterized stock markets. Particular attention is focused on secondary stock markets and indicators of development in these markets (stock indices). A separate subhead is dedicated to the various types of economic crises and the global economic crisis from 2007-2009, whose influence on the interdependence of stock markets is studied in this thesis. The theoretical part is also focused on a detailed description of the methods used to determine the degree of interdependence of stock markets. In the practical part there are clearly characterized in this thesis used time series and their basic descriptive statistics is incorporated herein. There are practically applied statistical and econometric techniques for research of interdependence of stock markets, which are described in the theoretical part. In the end is evaluated influence of the global economic crisis on the interdependence of the stock market based on the results arising from the individual methods, there is assessed the interdependence of Central European equity markets by individual period and there is compared the effect of global stock market and the euro area markets on Central European stock markets .