Behaviour of Stocks on the Prague Stock Exchange Год выпуска: 2011Автор: Oldrich KozaИздательство: LAP Lambert Academic PublishingСтраниц: 60ISBN: 9783847313175Описание 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.
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Лиза Юлия, добрый вечер, спасибо большое! Ваши консультации по философии психоанализа отличные, с их помощью написала 3 эссе, все были оценены на 5! :))
