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Časově-frekvenční analýza technologických IPO / Time-frequency analysis of technology IPOs

In our work, we focus on the dynamics of the volatility and co-movement during the first year of public trading. We use the wavelet analysis to investigate the return volatility of the technology stocks an their co-movement with the market in the time-frequency space. We employ the data sampled on multiple frequencies, ranging from 1 second high-frequency to daily data. We present three main findings. First, we identify gradual decline of the return volatility on all but the shortest investment horizons. Second, we do not find a convincing evidence that the technology stocks synchronize with the rest of the market as they get mature. Third, the different nature of the synchronization with the NASDAQ and S&P 500 indices is also not confirmed. JEL Classification C22, C32, C58, G19 Keywords IPO, technology stocks, wavelet analysis Author's e-mail martin.kus@outlook.com Supervisor's e-mail vachal@utia.cas.cz

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:339583
Date January 2015
CreatorsKuš, Martin
ContributorsVácha, Lukáš, Seman, Vojtěch
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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