Integrace čínského akciového trhu s asijskými a vyspělými světovými trhy

Abstract

The objective of the thesis is empirical testing the integration of Chinese stock market with Asian and developed global markets in the period from 1. 1. 2004 to 31. 12. 2015 based on the daily closing rates of stock indices SSE Composite, HSI, STI, Nikkei 225, DAX and S&P 500. In conformity with the objective of the thesis integration of stock markets is tested using selected statistical and econometric techniques, that is the correlation analysis, test of cointegration, vector autoregression model and test of Granger causality. The reference period in the thesis, which is a part of the global financial crisis from years 2007-2009, is divided into 3 part period – pre-crisis period, crisis period and post-crisis period. The thesis is divided into theoretical and application part. The theoretical part contains characteristic of stock markets and indices. The next chapter of theoretical part is description of economic crisis, the global financial crisis from 2007 to 2009, which also affected the Chinese economy, and economic aspects of integration. Next there is a descreption and process of used techniques to determine the degree of integration of stock markets. The application part contains characteristic used time series and their basic descriptive statistics. For testing the degree of integration there are applied statistical and econometric techniques, which are described in theoretical part, and in the end is evaluated the degree of integration of Chinese stock market with Asian and developed global markets based on the results arising from used methods, there is also evaluated influence of the global financial crisis on the integration Chinese stock market and there is compared the degree of integration of Chinese indices SSE Composite and HSI.