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Predicting Stock Market Volatility with Google Trends
Pecháček, Jan ; Krištoufek, Ladislav (advisor) ; Janotík, Tomáš (referee)
This thesis aims to investigate the usability of Google Trends data for predicting stock market volatility. Using daily Google data on tickers of three companies with large market capitalization, we examine the causal relationship between Google data and volatility proxy. We employ two common models for volatility, Generalised Autoregressive Conditional Heteroskedasticity model (GARCH) and Heterogeneous Autoregressive model (HAR) and we augment them by adding Google data. We studied the performance of in-sample forecasting and out-sample forecasting. Our results show that Google data Granger-cause stock market volatility and is able to produce more accurate results in in-sample forecasts then models without Google data added.
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Evolution of Real Wealth of the Czech republic
Havelka, Jan ; Cahlík, Tomáš (advisor) ; Janotík, Tomáš (referee)
This thesis analyses the development of the inclusive Wealth of the Czech Republic and compares it with twenty other countries. The thesis summarizes the knowledge of categorization of capital assets, shadow prices and their impact on the productive base of a country. For an economy to follow a sustainable development it has to provide at least the same amount of productive base for future generations. The thesis assesses newly created Inclusive Wealth Index and analyses its advantages and drawbacks. Furthermore, it describes used methodology and adjusts the index with other factors that influence the inclusive Wealth of a country. Based on empirical research of data for the Czech Republic and twenty more countries for years 1990 to 2008, stable growth of the Czech Republic, caused by investing into human capital, was confirmed and the problems connected with drawing down natural capital were highlighted. However, due to incompleteness of data and usage of linear interpolation to estimate missing data, the results of the analysis need not be valid. This can be tackled by including and comparing other indicators. On the other hand, used methodology has proven to be useful and brought some beneficial conclusions and advices for the Czech Republic and other countries.
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Economics and happiness
Zelinková, Jana ; Mlčoch, Lubomír (advisor) ; Janotík, Tomáš (referee)
The creator of the GDP tool, Simon Kuznets, warned already in 1934 about impossibility of deriving the general welfare from the data obtained with the use of the GDP. Recent economics do not take into account all of the important factors affecting the distribution of the consumer's preferences, thus threating the assumption of the consumer's rationality. This thesis analysed significant factors that strongly affect the level of subjective welfare. The discussion of the reasons of the weak correlation between changes in income and level of happiness was emphasised as well. In the part devoted to the methodological issues were presented major problems that can occur in the research about happiness together with the possible ways how to deal with them.
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Rules in homeless communities: an institutional analysis
Ehrlich, Matěj ; Schwarz, Jiří (advisor) ; Janotík, Tomáš (referee)
In this thesis, we are interested in rules of coexistence among homeless persons in Prague. At first, we will generally describe the emergence of order in society then we will focus on informal institutions and various ways how to enforce them. Subsequently, we will turn our attention to the topic of homelessness. We will provide a definition of homelessness suitable for our purposes and describe functioning of informal social networks that emerged among homeless people in different parts of the world. This will lead us to the empirical part of the thesis, which is based on unstructured interviews and results in description of ob- served regularities and enforcement mechanisms connected to them. For some of those regularities, we will use game theoretical approach to explain how did they emerge and how are they sustained. Keywords: homelessness, informal institutions, institutional analysis, game theory, private enforcement Author's e-mail: matej.ehrlich@gmail.com Supervisor's e-mail: jiri.schwarz@gmail.com
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Do Determinants of Happiness Vary across Demographic Groups?
Marčiš, Peter ; Chytilová, Julie (advisor) ; Janotík, Tomáš (referee)
This thesis examines relationships between subjective well-being of individuals and various factors (determinants of happiness) using the ordinary least squares (OLS) method separately for each of the major religious denominations, world regions, and sizes of municipalities. The results are then compared across the specified groups in order to find out if there are any significant differences. Based on the output of the analysis it can be inferred that there are remarkable differences especially across religious denominations and world regions where the most notable differences are found in case of relative income, unemployment, gender and marital statuses. On the other hand, the differences across various municipality sizes are not so frequent or substantial and the most significant variations are found for variables representing GDP per capita and marital statuses. Key Words subjective well-being, determinants of happiness, religious denominations, world regions, municipality sizes, comparison, differences
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Sacrifice as Investment, Investment as Sacrifice
Hrivniaková, Jana ; Sedláček, Tomáš (advisor) ; Janotík, Tomáš (referee)
In this work we will look at a particular example of investment and sacrifice, where investment originates in science and sacrifice in myths, but they both meet. The question is what exactly is what they are describing. Is investment and sacrifice similar or to grasp full understanding of this phenomenon we need both approaches? There can be found characteristics of rites in investment, similar structure and symbolism as well as economic incentives incorporated in the sacrifice. However investment is not perceived as rite and communication with divinity and sacrifice is not pure cost and benefit analysis. This paper tries to answer these questions and clarify the line between the two. It was Walter Benjamin who was first to notice the similarities between religion and economics and we would like to continue with the discussion. This topic is not much discussed further in literature, therefore by this paper we would like to fill the gap and contribute to the topic.
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The Determinants of Trust in the European Central Bank
Katuščáková, Dominika ; Horváth, Roman (advisor) ; Janotík, Tomáš (referee)
The thesis studies the determinants of trust in the European Central Bank by employing various indicators. The main objective has been to assess the most significant determinants of trust and to study the impact of the Great Crisis on trust in the European Central Bank. First, the socio-demographic and macroeconomic variables have been studied as the predictors and socio-demographic ones have been confirmed to be more significant. We have also extended the regressions by two new variables: monetary policy transparency index and financial stability transparency index. Whereas the monetary policy transparency index has not been significantly correlated with trust, it has been proved that the financial stability transparency index has positive impact on the trust in the European Central Bank. Secondly, we have employed the bias-reduced linearization procedure for computation of the standard errors in order to account for clustering and serial correlation problems. After comparison with the robust standard errors, we have concluded that the robust standard errors are not able to completely deal with the clusters and serial correlation in data. Thirdly, it has been proved that the trust in the European Central Bank decreases during the crisis occurrence.
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Homo Economicus and Nature of Human Beings
Djikanovic, Luka ; Janotík, Tomáš (advisor) ; Salamon, Janusz (referee)
This thesis examines the basic attitude of individual (presented as Homo economicus) on the market, as well as the part of the group that he/she lives in. First part deals with economic phenomenon, where Homo economicus is placed on the market and his role is described through some examples of transactions and certain processes on microeconomics and macroeconomics level. The other part deals with human nature, which is connected with Homo economicus. The aim of this chapter is to prove that there is some part of human nature that exist in all of us and thus in Homo economicus as well. Some of the main passions and urges are described and attached to individual, deepening the general picture of Homo economicus. This part of the thesis gives a different approach to Homo economicus' nature, based on a more social structure where one is placed in a society, which is presented through individual's interaction with others, as well as through the need of accomplishing himself/herself as a human being in the society. Lastly, the aim is to show that Homo economicus is inevitably connected to human nature. In order to achieve the ambition, he/she needs society, needs the others, and from that need a qualitative jump can occur because one is pushing the society forward. The importance of society in...
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Price Elasticity of Water Demand: A Meta-Analysis
Thoma, Richard ; Havránek, Tomáš (advisor) ; Janotík, Tomáš (referee)
Meta-analysis is a statistical method that allows us to combine results of em- pirical research. A theoretical summary helped to select appropriate model for the empirical part of this thesis - a meta-analysis focused on the price elas- ticity of residential water demand. A mixed-effects multilevel model, which corrects for selection bias, heteroskedasticity and within-study correlation, was employed. Publication bias was found only for subsample excluding data from the western part of the United States. Heckman meta-regression shows that the true price elasticity of water demand is -0,246. Finally variation in results across studies is explained. Using average price instead of margi- nal, the discrete-continuous choice model and data from the western part of the United States for water demand modelling will result in higher values of estimated elasticity. 1
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The Introduction of Trusts in the Czech Republic
Jelínek, Tomáš ; Teplý, Petr (advisor) ; Janotík, Tomáš (referee)
Complete recodification of the Czech Civil Code among other changes establishes trusts, a very flexible tool which can be used by both natural and legal persons. Countless possibilities for the utilisation of trusts range from charities through intergenerational transfers of property or pension securitisation to the managing of a corporation and investment activities. The core of this paper is an analysis of three basic elements of trusts: the description of trusts, monitoring and analysing of the contemporary development, and perception of trusts by Czechs. The thesis contains detailed description of rights and duties of the settlor, the trustee and the beneficiary, also compares the Czech and foreign processing and then points out some differences and offers various recommendations. A fully processed questionnaire survey and analysis of the collected data is an integral part of this work. Low literacy about trusts has been discovered and its impact has been assessed. The survey results demonstrate the necessity of establishment of competitive conditions together with fighting negative perceptions towards trusts. The investigation further revealed important as well as unimportant features of trusts to potential settlors. These findings could be significant for the future development in this area....
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