|
|
Volatility Spillovers in New Member States: A Bayesian Model
Janhuba, Radek ; Horváth, Roman (advisor) ; Červinka, Michal (referee)
Volatility spillovers in stock markets have become an important phenomenon, especially in times of crises. Mechanisms of shock transmission from one mar- ket to another are important for the international portfolio diversification. Our thesis examines impulse responses and variance decomposition of main stock in- dices in emerging Central European markets (Czech Republic, Poland, Slovakia and Hungary) in the period of January 2007 to August 2009. Two models are used: A vector autoregression (VAR) model with constant variance of resid- uals and a time varying parameter vector autoregression (TVP-VAR) model with a stochastic volatility. Opposingly of other comparable studies, Bayesian methods are used in both models. Our results confirm the presence of volatility spillovers among all markets. Interestingly, we find significant opposite trans- mission of shocks from Czech Republic to Poland and Hungary, suggesting that investors see the Central European exchanges as separate markets. Bibliographic Record Janhuba, R. (2012): Volatility Spillovers in New Member States: A Bayesian Model. Master thesis, Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: doc. Roman Horváth Ph.D. JEL Classification C11, C32, C58, G01, G11, G14 Keywords Volatility spillovers,...
|
|
|
Essays on Sports Economics
Janhuba, Radek ; Hanousek, Jan (advisor) ; Humphreys, Brad (referee) ; Rees, Daniel (referee)
In the first chapter, I examine the effects of emotional shocks on subjective wellbeing and the role social context plays in how shocks are experienced. Using data from the Behavioral Risk Factor Surveillance System (BRFSS), the study uses an ordered logit model to estimate the effects of the local college football team's wins and losses on the life satisfaction of local citizens. The analysis suggests that unexpected wins have positive effects on life satisfaction. The results are driven entirely by games played at the home stadium, indicating that the impacts of emotional shocks are larger if the experience is shared with other fans. Moreover, the effects increase with the size of the stadium relative to the local population, suggesting that social context is likely to be the underlying factor. Surprisingly, no effects are found for cases of unexpected losses. The second chapter examines the relationship between the number of on-field officials and committed fouls, a phenomenon connected to the economics of crime. Economists have found mixed evidence on what happens when the number of police increases. On one hand, more law enforcers means a higher probability of detecting a crime, which is known as the monitoring effect. On the other hand, criminals incorporate the increase into their decision-making...
|
|
|
The effect of exchange rate changes on stock market volatility in new member states
Janhuba, Radek ; Horváth, Roman (advisor) ; Seidler, Jakub (referee)
This thesis examines whether currency exchange rate changes play any role in determination of stock market volatility in the EU's New Member states. Using the daily data of six Central and Eastern European countries, we run a GARCH model including the exchange rate variable into the volatility equation. Using a TARCH model we also examine whether the magnitude of stock market volatility depends on the direction of last innovation. The results suggest that an exchange rate depreciation will boost stock market volatility in Czech Republic, Hungary and Poland, whereas the same applies for currency appreciation in Romania. The various results for various countries are in line with the previous research.
|
|
|
Cross-Country Analysis of Life Satisfaction
Stehlíková, Zuzana ; Janhuba, Radek (advisor) ; Paulus, Michal (referee)
This thesis examines the relations between subjective well-being and economic, politic and social characteristics of individual countries. We study the link between three components of subjective well-being - life satisfaction, positive affect and negative affect and other country characteristics. First, we use the dataset containing countries from almost all countries of the whole world and then with a more detailed European dataset. For the analysis of life satisfaction, panel data models are used. The results indicate that we are able to explain better variation in life satisfaction by our set of explanatory variables in comparison with positive affect and negative affect. In the former dataset, we discovered that the most important determinants of life satisfaction are GDP per capita, health, freedom to make life choices, political conditions and social support. In the latter, European dataset revealed a strong negative correlation between tertiary education attainment and happiness. The results also indicate that female representation in national parliament is an important predictor of life satisfaction in European countries. This supports the idea that equality between men and women plays an important role in developed societies. Keywords Subjective well-being, Happiness, Life satisfaction,...
|
|
|
The Relationship between Success in North American Sports and Birth Rates
Suchomel, Tomáš ; Janhuba, Radek (advisor) ; Kučera, Tomáš (referee)
Sports are world phenomenon deeply ingrained in North American culture. The existing research suggests that sports outcomes have the potential to significantly influence the lives of emotionally interested fans. However, the question of relationship between sport outcomes and birth rates is not yet welldocumented. Hence, the objective of this thesis is to establish whether there is a significant relationship between overall victories in major North American sport competitions and the number of births in the relevant territorial units. In general, no conclusive evidence was found that an overall victory is associated with any significant effect. However, more telling results were obtained for individual competitions. Interestingly, our novel method considering the natural variability in pregnancy length outperformed the usual approach adopted in similar studies as results show that R2 and adjusted R2 are both larger for the new method in all comparable regressions.
|
|
|
Competitive Balance in Individual Sports: An Empirical Evidence of Uncertainty of Outcome Hypothesis
Berčík, Václav ; Janhuba, Radek (advisor) ; Opatrný, Matěj (referee)
Beach volleyball is a fast-growing modern sport that is struggling with popularity despite being one of the most attractive-to-watch sports when directly compared to others at the Olympics. This thesis studies what drives fans' demand for watching professional beach volleyball. We use viewership data from YouTube live streaming of FIVB World Tour event - 2021 Katara Cup. In this thesis, we investigate the effect of uncertainty of outcome and both long and short-term determinants of team quality on fans' behaviour. The uncertainty is proxied by difference in odds, the long-term team quality is determined by teams' tournament seedings and short-term quality by recent winning records. The dynamics of fans behaviour according to the progress of the game are also studied. We are specifically interested in the effect of in-game uncertainty and surprising results on demand. Results of the work show evidence that beach volleyball fans prefer games with uncertain outcomes, care more about short-term team quality than long-term, and change behaviour in-game according to the development of uncertainty.
|
|
| |
|
|
Wage Discrimination in Top European Soccer Leagues
Migová, Patrícia ; Janhuba, Radek (advisor) ; Matoušek, Jindřich (referee)
This thesis deals with the analysis of wage discrimination in top European soccer leagues. Number of papers written about this problem in the past examined either each European league separately or did not examine particular leagues at all. Our thesis investigates discrimination between White, Black, Hispanic and Mediterranean players. We created two unique datasets, including one with game statistics from season 2018/2019 and one with average game statistics from seasons 2016/2017, 2017/2018 and 2018/2019. In addition to analysis of discrimination, we were able to investigate with two different datasets, whether player's wages are determined by statistics from the last season or by average statistics from the last three seasons. The data are examined by applying the Ordinary Least Squares method. The results of our regressions show that there does seem to exist some discrepancy in wage gap between some racial groups represented in our datasets. Our results also show that wages are better determined by the average statistics from the last three seasons.
|
|
|
The Prize Money Distribution in UEFA Champions League
Scharf, Šimon ; Janhuba, Radek (advisor) ; Kuc, Matěj (referee)
Football is one of the most popular sports worldwide, thanks to such popularity huge market evolved around the sport and thus attracted economists' attention. As a sport, it also represents an ideal environment for testing various hypotheses of contest theory. In this thesis, data from the UEFA Champions League are used to evaluate the prize money distribution. We begin our analysis with primary characteristics of the contest that are fundamental for the contest designer, for example, the heterogeneity of the contestants. In the main part, we assess the incentive effect of the prize. While this phenomenon was previously studied on data from individual sport, we explore this topic in the context of team sports using the data from the knock-out stages of the tournament. The results show prevailing evidence in support of the incentive effect of the prize. Alternative models are also provided to check for robustness and they mostly confirm our results.
|
|
|
Do National Hockey League Players Perform Better During Their Contract Years?
Liehman, Jan ; Opatrný, Matěj (advisor) ; Janhuba, Radek (referee)
This thesis analyses the validity of the contract year phenomenon in the Na- tional Hockey League (NHL). This notion, that players increase their perfor- mance in the final year of their contract, has been supported by previous find- ings in baseball and basketball, but ice hockey has been largely overlooked thus far. This thesis further extends the analysis to the second-to-last year on players' contract and distinguishes between unrestricted and restricted free agents. Rigorous analysis of the NHL contract structure is employed to elimi- nate contract states that would bias the results. By using a within-player fixed effects model in combination with advanced performance metrics, it arrives at an unexpected conclusion that upcoming unrestricted free agents improve their performance in the second-to-last year of their contract, but there is not enough evidence to suggest that they improve in the final one. No performance increase was found for upcoming restricted free agents during the final two years of their contract. JEL Classification C23, D01, J30, J41, Z20 Keywords contract year phenomenon, NHL, incentives, motivation Title Do National Hockey League Players Perform Better During Their Contract Years? Author's e-mail jan.liehman@gmail.com Supervisor's e-mail matej.opatrny@fsv.cuni.cz
|
guest ::
