Time-frequency analysis of technology IPOs
|Author:||Mgr. Martin Kuš|
|Year:||2015 - summer|
|Leaders:|| Mgr. Lukáš Vácha Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||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.