Effects of Global Financial Crisis on Stock Market Volatility

Yaxin Guo

Diplomová práce

Anotace:

The main aim of this thesis is to model effect of global financial crisis on volatility of stock markets using conditional volatility models. For the purpose of this thesis, we utilize daily time series of Chinese and Japanese stock markets covering the period from January 2006 till March 2015. Chinese stock market is represented by Shanghai Composite Index while Japanese market is approximated by Nikkei 225 Index. The main purpose of this thesis is supported by two sub-goals: the first sub-goal is to measure whether the linear or non-linear model can better match the actual volatility on stock index under a certain sub-period for either Chinese market or Japanese market; the second sub-goal is to investigate potential existence of leverage effect for Chinese and Japanese stock market.

Abstract:

The main aim of this thesis is to model effect of global financial crisis on volatility of stock markets using conditional volatility models. For the purpose of this thesis, we utilize daily time series of Chinese and Japanese stock markets covering the period from January 2006 till March 2015. Chinese stock market is represented by Shanghai Composite Index while Japanese market is approximated by Nikkei 225 Index. The main purpose of this thesis is supported by two sub-goals: the first sub-goal is to measure whether the linear or non-linear model can better match the actual volatility on stock index under a certain sub-period for either Chinese market or Japanese market; the second sub-goal is to investigate potential existence of leverage effect for Chinese and Japanese stock market.

Klíčová slova

Conditional Heteroskedasticity, Global Financial Crisis, In Sample Forecast, Leverage Effect, Stock Market, Volatility

Keywords

Conditional Heteroskedasticity, Global Financial Crisis, In Sample Forecast, Leverage Effect, Stock Market, Volatility

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 25. 4. 2015

Obhajoba závěrečné práce

• Obhajoba proběhla 27. 5. 2015
• Vedoucí: Petr Seďa
• Oponent: Aleš Melecký

VŠB - Technická univerzita Ostrava

Ekonomická fakulta

Magisterský studijní program / obor:
Hospodářská politika a správa / Finance