Behaviour of Stocks on the Prague Stock Exchange: During the Financial Crisis: Evidence from Empirical Research - Softcover

Koza, Oldřich

Softcover

ISBN 10: 3847313177 ISBN 13: 9783847313175

Verlag: LAP Lambert Academic Publishing, 2011

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Reseña del editor:

This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient.

Biografía del autor:

Koza, Oldrich. Behaviour of stocks on the Prague Stock Exchange During the FinancialCrisis: Evidence from Empirical Research, Prague, 2011. Bachelor’s thesis, Institute of Economic Studies, Faculty of Social Sciences,Charles University, Czech Republic. Supervisor:PhDr. Petr Teplý Ph.D.

Über diese Auflage

• Verlag: LAP Lambert Academic Publishing
• Erscheinungsdatum: 2011
• ISBN 10: 3847313177
• ISBN 13: 9783847313175
• Einband: Tapa blanda
• Anzahl der Seiten: 60