The paper analyzes effects of the financial crisis on stock market of the Czech Republic and Spain. We employ BEKK-GARCH model in order to study volatility spillovers and transmissions from the US stock market to stock markets of the Czech Republic and Spain. The multivariate GARCH models results show statistically significant, but relatively small, almost irrelevant volatility spillovers from the US stock market to stock markets of the Czech Republic and Spain. The Czech stock market exhibits higher conditional correlation coefficient than the Spanish stock market.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:329137 |
| Date | January 2013 |
| Creators | Titizov, Toško |
| Contributors | Avdulaj, Krenar, Princ, Michael |
| 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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