Volatility transmission during the petroleum market shock
| Autor: | Bc. Matej Leško |
|---|---|
| Rok: | 2022 - letní |
| Vedoucí: | Mgr. Lukáš Vácha Ph.D. |
| Konzultant: | |
| Typ práce: | Bakalářská |
| Jazyk: | Anglicky |
| Stránky: | 69 |
| Ocenění: | |
| Odkaz: | https://dspace.cuni.cz/handle/20.500.11956/175631 |
| Abstrakt: | 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. |
