Work detail

Comovement of Stock Markets and Commodities: A Wavelet Analysis

Author: Mgr. Marek Vavřina
Year: 2012 - summer
Leaders: Mgr. Lukáš Vácha Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 88
Awards and prizes:
Link:
Abstract: The
thesis
applies
the
wavelet
analysis
to
four
stock
market
indices
(USA,
UK,
Germany
and
Japan)
and
four
commodities
(Gold,
Crude
oil,
Heating
oil
and
Natural
gas)
and
it
aims
to
reveal
how
they
comoved
in
the
period
of
the
Global
financial
crisis,
which
began
in
the
USA
as
the
Subprime
mortgage
crisis.
Also
the
potential
presence
of
contagion
caused
by
the
bankruptcy
of
Lehman
Brothers
bank
is
investigated.
In
addition
the
Granger
causality
test
is
applied
to
give
a
different
perspective
and
to
extend
the
analysis.
Empirical
results
revealed
that
stock
markets
comoved
during
the
whole
period
with
each
other,
but
much
less
with
commodities.
Also,
the
wavelet
correlation
of
stock
markets
and
commodities
differ
significantly
when
talking
about
the
short-­‐
term
and
the
long-­‐term
horizon.
This
information
can
be
utilized
in
the
portfolio
analysis.
The
wavelet
analysis
revealed
contagion
coming
from
the
USA
to
the
German
stock
market,
Crude
oil
and
Heating
oil
market
after
the
bankruptcy
of
Lehman
Brothers.
The
Granger
causality
test
indicates
that
there
is
a
very
strong
causal
relationship
between
stock
markets
and
commodities
and
it
differs
at
different
scales.
Downloadable: DT Vavrina

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