This thesis focuses on the relationship between short-term interest rate and stock prices. The main idea is that if interest-rate increases, it makes holding stocks less attractive relative to fixed income securities. Therefore, investors change the structure of their portfolios and switch capital from stocks to banks, which results in stock prices decrease. In our thesis, we apply GJR-GARCH-t-M model to study the impact of Czech interest rate (14-day PRIBOR) on the Prague Stock Exchange (the PX index). In contrast to the majority of research on this topic, we have found no impact of the PRIBOR rate on the PX index- neither on its mean nor on its volatility. We attribute the absence of a significant relationship to exceptional composition of the PX index. Furthermore, we have found that the recent crisis has significantly changed the behavior of the Czech stock market.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:338767 |
| Date | January 2014 |
| Creators | Michlian, Štefan |
| Contributors | Princ, Michael, Brechler, Josef |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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