Time-frequency analysis of technology IPOs
| Autor: | Mgr. Martin Kuš |
|---|---|
| Rok: | 2015 - letní |
| Vedoucí: | Mgr. Lukáš Vácha Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 79 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/125698/ |
| Abstrakt: | 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. |
