Capital Market Integration. Evaluation and measurement: Risk-premium test

Název práce: CAPITAL MARKET INTEGRATION Evaluation and Measurement: Sovereign Bond Market
Autor(ka) práce: Víťazka, Peter
Typ práce: Diploma thesis
Vedoucí práce: Klosová, Anna
Oponenti práce: -
Jazyk práce: English
Abstrakt:
The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost zero yield differences before crisis. After 2008 results show segmentation in euro zone countries with certain special characteristic for countries with high credit ratings.
Klíčová slova: cointegration; capital market integration; yield spreads; sigma-convergence
Název práce: Capital Market Integration. Evaluation and measurement: Risk-premium test
Autor(ka) práce: Víťazka, Peter
Typ práce: Diplomová práce
Vedoucí práce: Klosová, Anna
Oponenti práce: -
Jazyk práce: English
Abstrakt:
The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost zero yield differences before crisis. After 2008 results show segmentation in euro zone countries with certain special characteristic for countries with high credit ratings.
Klíčová slova: yield spreads; cointegration; capital market integration; sigma-convergence

Informace o studiu

Studijní program / obor: Economics of Globalisation and European Integration
Typ studijního programu: Magisterský studijní program
Přidělovaná hodnost: Ing.
Instituce přidělující hodnost: Vysoká škola ekonomická v Praze
Fakulta: Fakulta mezinárodních vztahů
Katedra: Fakulta mezinárodních vztahů

Informace o odevzdání a obhajobě

Datum zadání práce: 12. 3. 2013
Datum podání práce: 30. 9. 2013
Datum obhajoby: 22. 10. 2013
Identifikátor v systému InSIS: https://insis.vse.cz/zp/43604/podrobnosti

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