Work detail

International Stock Market Co movements and the Global Financial Crisis

Author: Bc. Petr Poldauf
Year: 2011 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 82
Awards and prizes: B.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance
Link:
Abstract: This thesis investigates development of co-movements among international equity
returns at the market and industry level over the period 2000 { 2010. Emphasis is
put on the in
uence of the Global Financial Crisis of 2008/2009. We analyze daily
data from major markets in Australia, Brazil, Canada, China, Germany, Japan,
Russia, South Africa, the UK, and the USA using GARCH family of models. We
nd that there are still weakly correlated markets and the in
uence of the Crisis
di ers from country to country. The sectoral indices, including the nancial sector,
were signi cantly less correlated than the market indices over the whole period.
Downloadable: Bachelor Thesis of Poldauf
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