Measuring high-frequency phase shifts between stock markets
| Autor: | Mgr. Jakub Cieslar |
|---|---|
| Rok: | 2019 - zimní |
| Vedoucí: | Mgr. Lukáš Vácha Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 120 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/179460/ |
| Abstrakt: | Thesis investigates frequency-related phase relationships among returns of five m a jor 5-minute European stock m arket indexes and compares relative phases on high frequencies, w ith focus on dynamics between developed and developing stock m arkets from 2008 to 2015 using. Using continuous and discrete wavelet transform we find significant phase relationships among the considered indexes, particularly we spot very strong relationship between the developed ones with no significant phase difference on any investigated frequency. Furtherm ore we observe significant lag of developing m arkets behind developed ones, particularly on horizons between 20 and 80 minutes. We also observe th a t the relationships is fading throughout the examined period, w ith increased variance of the relative phases and diminishing significance of some phase differences. The results indicate th a t either less developed m arkets are becoming more effective or it can be a sign of decreasing inter-dependencies (e.g. lower common trends). This thesis contributes to the literature by examining noisy financial tim e series on highest frequencies and shows relevance of the m ethod on simulated signals w ith high degree of noise. |
