Behaviour of Stocks on the Prague Stock Exchange di Oldrich Koza edito da LAP Lambert Academic Publishing
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Behaviour of Stocks on the Prague Stock Exchange

During the Financial Crisis: Evidence from Empirical Research

EAN:

9783847313175

ISBN:

3847313177

Pagine:
60
Formato:
Paperback
Lingua:
Tedesco
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Descrizione Behaviour of Stocks on the Prague Stock Exchange

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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