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The Impact of Short-term Interest Rate on Stock Prices in the Czech Republic
Michlian, Štefan ; Princ, Michael (advisor) ; Brechler, Josef (referee)
This thesis focuses on the relationship between short-term interest rate and stock prices. The main idea is that if interest-rate increases, it makes holding stocks less attractive relative to fixed income securities. Therefore, investors change the structure of their portfolios and switch capital from stocks to banks, which results in stock prices decrease. In our thesis, we apply GJR-GARCH-t-M model to study the impact of Czech interest rate (14-day PRIBOR) on the Prague Stock Exchange (the PX index). In contrast to the majority of research on this topic, we have found no impact of the PRIBOR rate on the PX index- neither on its mean nor on its volatility. We attribute the absence of a significant relationship to exceptional composition of the PX index. Furthermore, we have found that the recent crisis has significantly changed the behavior of the Czech stock market.
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The housing bubble in China
Ba, Lei ; Novák, Jiří (advisor) ; Princ, Michael (referee)
Language: English Title: The Housing Bubble in China Abstract: This paper studies the housing price boom in recent decade since 2003 in China. The study focuses on four municipalities of China, Beijing, Shanghai, Tianjin and Chongqing. Despite the fact that the whole country is suffering a sky soaring housing boom, this paper reveals a regional difference between two types of big cities. Better developed cities such as Beijing and Shanghai are experiencing greater volatility in the boom and economic fundamentals have less explanatory power to the price increases. Oppositely, less developed cities such as Tianjin and Chongqing have relatively sustainable housing prices which are better supported by economic fundamentals. Finally, this paper concludes that Beijing and Shanghai are experiencing a bubble in the housing prices, if the public expectation on economic growth cannot maintain, the bubble will burst.
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Relationships between Corporate Governance and Firm Performance: Effects on Czech Export Oriented and Financial Industries
Habiňák, Ladislav ; Princ, Michael (advisor) ; Jašová, Martina (referee)
The thesis describes effects of corporate governance on firm performance and managerial income of firms from sectors important for Czech GDP: financial sector and export-oriented manufacturing industries. Added value of the work comes mostly from the fact that it concerns Czech firms and especially that it studies the two sectors using econometric method as well as it compares them on graphs and tables. There are two main topics for hypotheses testing. Firstly, the thesis investigates effects on firm performance, measured by proxy variable return on equity, by sizes of executive boards and firms. Secondly, the effects of performance as well as companies and boards sizes on managerial income are studied.
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Econometric test of euro adoption impact on German and Czech exports: the costs and benefits of Eurozone membership in the trade sector
Hyžíková, Mirka ; Benáček, Vladimír (advisor) ; Princ, Michael (referee)
The purpose of this study is to find the influence of common currency on the international trade development. The study deals with the Rose effect, which says, that the currency unions increase trade by more than 200%. This thesis designes an extended gravity model of international trade where the economic characteristics of countries are combined with institutional and policy factors of trade, such as the EU common policies, impacts of the Euro or trade agreements and other factors, which lowers the transaction costs of trade, such as the quality of infrastructure. The thesis also deals with the data structure influence on the results of the estimation of gravity models and shows the problem which is not in common literature noted. Compared to the common research, this thesis focus in detail only on Czech and German exports.
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Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries
Baronaite, Lina ; Babin, Adrian (advisor) ; Princ, Michael (referee)
"Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries" by Lina Baronaite Abstract: The objective of the thesis is to estimate the degree of cross-border contagion among the Nordic banking sectors. It analyzes a sample of sixteen largest listed Nordic banks from January 2004 to January 2014. Using a multinomial logit model we test whether there is any degree of contagion among the four banking sectors, whether it is more pro- nounced for larger banks and whether the recent financial crisis has exacerbated it. Our results are in line with similar studies conducted for other countries. In particular, we find that a shock in one bank- ing sector is positively associated with an increase in shocks in another banking sector. Second, these shocks are larger and more significant for larger and more active international banks. Finally, the effect of the recent financial crisis has ambiguous effects on the cross-sectoral banking contagion. It appears that contagious links between some sec- tors weakened (Sweden and Denmark, Sweden and Finland). Other economies (Sweden and Norway) on the contrary became more depen- dent on each other. The results are robust to a wide variety of changes in specifications.
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Profitability of technical analysis : evidence from Central and Eastern European stock markets
Hrušová, Ivona ; Teplý, Petr (advisor) ; Princ, Michael (referee)
This thesis assesses whether technical analysis can generate substantial profits in Central and Eastern European stock markets with a special focus on the Prague Stock Exchange. It investigates a well established trend follower MACD as well as a counter-trend indicator stochastic oscillator and introduces test statistics and bootstrap methodology in order to explore the profitability of these technical trading rules. The empirical results suggest that rewards of technical analysis differ according to individual stock markets. Whereas both indicators considered are found to yield significantly positive returns especially in the Bucharest and Prague Stock Exchanges, but have no predictive power on the Frankfurt Stock Exchange. The findings raise a question about the efficiency of the less developed stock markets.
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Analysis of Interdependencies among Central European Stock Markets
Mašková, Jana ; Baruník, Jozef (advisor) ; Princ, Michael (referee)
The objective of the thesis is to examine interdependencies among the stock markets of the Czech Republic, Hungary, Poland and Germany in the period 2008-2010. Two main methods are applied in the analysis. The first method is based on the use of high-frequency data and consists in the computation of realized correlations, which are then modeled using the heterogeneous autoregressive (HAR) model. In addition, we employ realized bipower correlations, which should be robust to the presence of jumps in prices. The second method involves modeling of correlations by means of the Dynamic Conditional Correlation GARCH (DCC-GARCH) model, which is applied to daily data. The results indicate that when high-frequency data are used, the correlations are biased towards zero (the so-called "Epps effect"). We also find quite significant differences between the dynamics of the correlations from the DCC-GARCH models and those of the realized correlations. Finally, we show that accuracy of the forecasts of correlations can be improved by combining results obtained from different models (HAR models for realized correlations, HAR models for realized bipower correlations, DCC-GARCH models).
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Analysis of the Natural Gas Market during the Period of Deregulation - A Comparison of Selected European Countries
Mirková, Barbora ; Mikolášek, Jakub (advisor) ; Princ, Michael (referee)
The liberalization of gas markets is in the European Union and especially in its new Member States a current topic. This thesis is devoted to a comparison of the liberalization processes in three Central European countries - the Czech Republic, Slovakia and Poland. The thesis first introduces the concepts of public and natural monopolies, the specific characteristics of gas markets and the legislation of the European Union that underlies the liberalization. Further, the thesis takes a close look at the developments in the gas markets of the three countries. The focus lies mainly on the national legislation, opening of demand side and changes in the market structure, including unbundling, new entrants and supplier switching. The final chapter of the thesis analyzes and compares the progress in liberalization of the individual markets by calculating the market concentrations using the Herfindahl-Hirschman index.
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Household Debt in the Czech Republic: Focus on Mortgage Amount Determinants
Mittigová, Patricie ; Cahlík, Tomáš (advisor) ; Princ, Michael (referee)
The growth of household indebtedness in the last decade led to more attention paid to this issue since it could threaten the stability of financial system in the future. In the Czech Republic, this rise is mainly caused by the increased number of mortgage loans, which are usually the largest financial burden that debtors have to repay. For that reason, I focus on mortgages since their growth has been the most significant in comparison with other loan types. The aim of this thesis is to analyse how personal characteristics affect one's decision on the amount they choose to borrow in order to finance their housing needs. For this purpose, I performed a multiple regression analysis applying several estimation methods. By examining a random sample of ČSOB clients who have taken out a mortgage, I discovered that person's income, age, marital status, education and region a person lives in are significant factors affecting debtor's choice about how much they borrow. Conversely, the number of children affects the amount borrowed only at higher quantiles of the distribution, whereas it is not a significant factor at lower quantiles. This thesis complements rather a limited number of studies about the Czech household debt as it provides new findings about a borrower's decision. Powered by TCPDF (www.tcpdf.org)
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The Stock Market Volatility in the Czech Republic: Rises and Falls
Princ, Michael ; Netuka, Martin (advisor) ; Seidler, Jakub (referee)
A stock market came through a significant development in the Czech Republic; from its artificial beginning, through a fierce decline in listed companies, to a gradual rise in the market capitalization, which was suddenly turned off by a global financial crisis in 2008. The diploma thesis concentrate on a volatility analysis of a stock market in the Czech Republic in years 1994- 2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan. The most important and influential events concerning world markets and also a development of Prague Stock Exchange are included in the analysis. Econometric tools includes GARCH model and its most popular derivatives and generalisations i.e. IGARCH, EGARCH and APARCH processes. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class models estimations, a forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on the DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. It is furthermore supported by the Granger causality...
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