IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET

Popis výsledku v původním jazyce

Volatility measuring is an important task in financial markets, and it has held the attention of academics and practitioners over the last two decades. This paper deals with the impact of the global financial crisis on Central European stock market volatility represented by the Czech and Polish stock markets. Therefore, fluctuations and volatility in these markets before, during and after the crisis were analyzed. This paper tries to identify the length of the global financial crisis, estimate the potential risk in the stock market during financial turmoil and analyze the characteristics of the risk. For a comprehensive analysis, several sophisticated models of quantitative financial analysis were adopted. We especially worked with Jump-Diffusion GARCHmodel considering heteroskedasticity which allow greater accuracy than simple GARCH type volatility models.

Název v anglickém jazyce

IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET

Popis výsledku anglicky

Volatility measuring is an important task in financial markets, and it has held the attention of academics and practitioners over the last two decades. This paper deals with the impact of the global financial crisis on Central European stock market volatility represented by the Czech and Polish stock markets. Therefore, fluctuations and volatility in these markets before, during and after the crisis were analyzed. This paper tries to identify the length of the global financial crisis, estimate the potential risk in the stock market during financial turmoil and analyze the characteristics of the risk. For a comprehensive analysis, several sophisticated models of quantitative financial analysis were adopted. We especially worked with Jump-Diffusion GARCHmodel considering heteroskedasticity which allow greater accuracy than simple GARCH type volatility models.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic

ISBN

978-80-7248-779-0

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

787-792

Název nakladatele

Slezská univerzita v Opavě

Místo vydání

Opava

Místo konání akce

Karviná

Datum konání akce

11. 9. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000316715900135