Volatility transmission during the petroleum market shock
|Author:||Bc. Matej Leško|
|Year:||2022 - summer|
|Leaders:|| Mgr. Lukáš Vácha Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||The thesis investigates the connectedness of the U.S stock market and the
West Texas Intermediate (WTI) futures during the Covid-19 pandemic. The
period spans from August 2019 until June 2022 and captures the evolution prior to pandemic, oil price shock represented by negative price of the
WTI futures and the post-pandemic revival of the economy. Applying the
methodology Spillover asymmetry measure Barun´ık et al. (2016) we show
the evolution of the volatility connectedness and the asymmetry in volatility
spillovers of 30 U.S stocks and the WTI futures. Our results suggest the overall volatility connectedness on both portfolio and sector-level peaked at the
beginning of this period, while the dominant was the volatility from negative
returns. However excluding two days with extraordinary realized variance
led to significantly different results. Additionally, these results reveal unusually long period of low asymmetry in volatility spillovers during the pandemic.