Work detail

Volatility transmission between oil prices and European stock market

Author: Bc. Lenka Nechvátalová
Year: 2017 - summer
Leaders: prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.
Work type: Bachelors
Language: English
Pages: 59
Awards and prizes:
Abstract: This thesis examines transmissions of returns and volatility between crude
oil and stock indices from different sectors of economy. We will be using daily
Brent crude futures and Euro Stoxx sector indices from 1992 to 2017. For the
analysis we employ bivariate VAR BEKK-GARCH model to simultaneously
estimate the conditional mean and variance equations, to investigate the
causal relationships between the variables. In addition we use the results of
our estimation to calculate optimal portfolio weights and hedge ratios. The
results show Granger causality from oil to most of the individual sectors,
reverse relationship exists in two cases. We found unidirectional volatility
spillovers from stock sectors to oil in majority of cases and in 4 sectors the
spillover was bidirectional.




Patria Finance
Česká Spořitelna