davam sem odkaz na moju bakalarsku pracu, ktoru som vcera uspesne obhajil
. Analyzoval som v nej januarovy pad indexu a real-time dopad sprav z Reutera na index pocas tohto padu:http://diplomovka.sme.sk/zdroj/3495.pdf" onclick="window.open(this.href);return false;
ABSTRACT
This work provides a comprehensive study of the January 2008 stock market downturn and its
impact on DAX index. We find three possible causes of the crash: adverse economic news,
technical trading signals and possible market manipulation (by SocGen). We find strong interdependencies
among world equity indices during this period. We examine DAX’s development
in the preceding years and do not find any proof of a price bubble. Rather, we find
that German stock market operates with a much higher volatility than other markets. In addition,
we find that financial stocks were not the most severely affected by the slump, as first
expected. In fact, utilities and insurance were hit most severely. We also find that the welldocumented
January effect has been weakening for the last few years. Moreover, we look at
the effects of new information on stocks, examining intraday price changes and comparing
them to the news released by Reuters during the slump. The results are mixed, except for the
monetary policy-related news, which had a strong impact on prices.
Keywords: DAX, January 2008, crash, panic, crisis, contagion, bubble, crash forecasting,
January effect, Jérôme Kerviel, sector comparisons during a crash, technical analysis applied,
information effects on stocks, volatility.