|
|
Natural Gas Comovement with Other Commodity Markets - A Wavelet Analysis
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Kraicová, Lucie (referee)
This thesis studies the impact of shale gas on commodity and stock markets in the U.S. by employing wavelet approach and conducting a time-frequency analysis of dynamic correlations between natural gas and important representatives of commodity markets: crude oil, coal, corn, wheat, and several indices. It covers the period from 2006 to 2015 and is performed on daily data. Our thesis enlarges existing literature on comovement between natural gas with other energy commodities and stocks using wavelet coherence - a methodology which allows analyzing comovement among assets not only from a time series perspective but also over different frequencies. Financialization of natural gas and its involvement in investment portfolios under changing conditions on the U.S. gas market provide space for examination of gas proper correlation estimates in respect to other financial assets. Our results reveal natural gas comovement behaviour with examined commodities during the Financial Crisis. They show gradual decoupling between gas and crude oil prices in time. To the best of our knowledge we are the first to address natural gas using wavelet coherence in connection to agricultural commodities corn and wheat. These commodities together with natural gas are primary sources for bioethanol production being used in...
|
|
|
Modeling of Long Memory in Volatility Using Wavelets
Kraicová, Lucie ; Baruník, Jozef (advisor) ; Adam, Tomáš (referee)
ii Abstract This thesis focuses on one of the attractive topics of current financial literature, the application of wavelet-based methods in volatility modeling. It introduces a new, wavelet-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH- family model capturing long-memory and asymmetry in volatility, and studies its properties. Based on an extensive Monte Carlo experiment, both the behavior of the new estimator in various situations and its relative performance with respect to two more traditional estimators (maximum likelihood estimator and Fourier-based Whittle estimator) are assessed, along with practical aspects of its application. Possible solutions are proposed for most of the issues detected, including suggestion of a new specification of the estimator. This uses maximal overlap discrete wavelet transform instead of the traditionally used discrete wavelet transform, which should improve the estimator performance in all its applications, not only in the case of FIEGARCH model estimation. The thesis concludes that, after optimization of the estimation setup, the wavelet-based estimator may become an attractive robust alternative to the traditional methods.
|
|
|
The Environmental Kuznets Curve Framework: Europe 2020 Greenhouse Gases Target in the EU-15 states
Korba, Pavel ; Dózsa, Martin (advisor) ; Kraicová, Lucie (referee)
In the thesis, we examine the necessity and impacts of measures adopted under the greenhouse gas emissions target in the Europe 2020 growth strategy in the EU-15 states. For testing the necessity of the measures, we use the Environmental Kuznets Curve (EKC) hypothesis for carbon dioxide (CO2) emissions as the theoretical framework, the Autoregressive distributed lag model as the econometrical technique and annual data from 1970 to 2010 (1991 to 2010 in the case of Germany). The existence of the EKC is detected in Belgium, Denmark, France, Germany, Netherlands, Spain, Sweden, and the United Kingdom. However, only in Denmark the EKC hypothesis is supported significantly (on ten percent level of significance). Following the main implication of the EKC hypothesis, only in Denmark is the economic development sufficient enough to safeguard environmental quality; therefore, no additional measures are needed. In the remaining states, we tested Granger causality using the Toda-Yamamoto procedure to inquire about the impacts of the measures on gross domestic product (GDP). Our results indicate that only in Austria, Germany (with caution due to a limited number of observations) and Ireland, the measures may impede economic development. In the remaining states, no causality or only a causality running from GDP...
|
|
|
The impact of the COVID-19 crisis on bank corporate credit risk management in the US and the UK
Kořínek, Matěj ; Teplý, Petr (advisor) ; Kraicová, Lucie (referee)
The thesis deals with bank corporate credit risk management during the COVID-19 crisis in the US and the UK. As a proxy of corporate credit risk, we employ corporate aggregate probability of default provided by Credit Benchmark. To measure the impact of the crisis on corporate aggregate probability of default, we use variables representing macroeconomic and financial market environments. Furthermore, as proxies for the COVID-19 shock and governments' fiscal measures, we employ COVID-19 stringency index and dummy variable(s), respectively. Our data set consists of 60 monthly observations, and by its structure is suitable for time series analysis. The analysis is based on Ordinary Least Squares, Two Stage Least Squares, and Generalized Method of Moments estimations. The results show that fiscal measures "artificially" decreased change of corporate aggregate probability of default in both countries. We recommend that the respective bank credit risk managers incorporate proxies representing fiscal measures in their estimation of through-the-cycle probability of default that serves as an input for calculating regulatory capital. Besides, a variable representing stringency index is found to be significant in the US's model. Thus, we recommend using such a proxy as input for stress testing in the US.
|
|
|
Sector ETF portfolio optimization using differential evolution
Holešínský, René ; Čech, František (advisor) ; Kraicová, Lucie (referee)
This thesis examines the use of differential evolution in a real-world portfolio op- timization task based on US stock data. We empirically test the capability of the algorithm to find an inter-sector allocation that outperforms a broad-market stock index. Two constrained sector ETF portfolios are constructed to simulate realis- tic agent-based settings and performance of the competing portfolios is analyzed in terms of both return and risk. The results are further extended to include Markowitz' global minimum variance portfolio and a naive 1/N portfolio. We show that the con- structed portfolios are indeed capable of outperforming the market whilst simultane- ously maintaining lower tail risk, however, the performance significantly deteriorates if the portfolios are rebalanced based on rolling data windows. Overall the algorithm delivers satisfying results while providing the user with a relative freedom when choosing portfolio constraints. JEL Classification: C61, G11, G17, G19 Keywords: portfolio optimization, exchange-traded funds, differen- tial evolution, empirical analysis Title: Sector ETF Portfolio Optimization Using Differential Evolution Author's e-mail: rene.holesinsky@gmail.com Supervisor's e-mail: frantisek.cech@fsv.cuni.cz 1
|
|
| |
|
|
Personality tests and their linkage to employee productivity
Tsypushkina, Kristina ; Pleticha, Petr (advisor) ; Kraicová, Lucie (referee)
The purpose of this thesis is to evaluate the predictive power of personality traits, depicted by a commercial assessment Predictive Index, on sales employee performance. We utilize non-publicly available company level data from one of the leading firms operating in the consumer finance industry in China. The data set contains over 31 thousands observations on one particular position. Employee performance is measured by their ranking within the top or bottom 20% or 30% based on the sold volume during first month of employment. Using visual analysis and logistic regression, we were able to identify positive correlation between extraversion and sales performance and negative correlation between patience and employee performance. These findings are in line with previous literature. We have also identified that having a colleague at a given sales location has a positive impact on employee performance. Our findings also suggest that it is easier to predict bottom performers when compared to the top ones. Nevertheless, the explanatory variables are able to explain merely 4.7% of variation in employee performance. The added value of personality traits is thus limited in our setting. Such a low predictive power is likely caused by improper administration of the assessment and the fact that the results are...
|
|
|
The Role of Offshore Companies in Public Procurement in the EU
Do, Thao Trang ; Palanský, Miroslav (advisor) ; Kraicová, Lucie (referee)
Corporate income taxation constitutes a significant share of government revenue on which public expenditure depends heavily, and when multinational enterprises (MNEs) engage in abusive tax practices it adds to the average taxpayer's burden. Additionally, when awarding public contracts to companies connected to notorious havens the efficiency of public spending cannot be ensured. Using data on ownership structures of government suppliers, this paper employs the gravity theory and aims to recognise tax havens' activity on the EU's public procurement market. The gravity model identifies territories with up to 99% unexplained flows of their total procurement supply. In these countries increased risk of abuse is expected and outflow of taxable revenue can be assumed. It is estimated that companies based in or linked to tax havens annually supply about EUR 67 billion worth of EU's public contracts above the natural levels predicted by the gravity model based on economic and geographical determinants.
|
|
|
Fama-French Model: Multiscale Portfolio Analysis
Spousta, Radek ; Kraicová, Lucie (advisor) ; Teplý, Petr (referee)
This thesis studies the empirical relationship between excess asset returns and the Fama−French risk factors at various scales using a combination of the Fama−French model and wavelet-based methods. We re-examine previously published results obtained for six portfolios formed on size and book-to-market ratio in the U.S. market, and focus on the influence of different scales on the original results. We conclude that the most the total variance of the risk factors and excess portfolio returns is concentrated at scale 1 and 2, which corresponds to periodicities of 2-4 months and 4-8 months, respectively. Next, we observe significant variation in estimated parameters across different scales. Furthermore, some of the Fama−French risk factors are strongly correlated at scale 2, 3 and 4, which is unobservable in standard correlation matrix. Overall, the multiscale approach seems beneficial for analysis of the Fama−French three-factor model as it reveals information that remains hidden to traditional methods.
|
|
|
Pairs trading at CEE markets
Šedivý, Jakub ; Maršál, Aleš (advisor) ; Kraicová, Lucie (referee)
We investigate the use of investment strategy called pairs trading on small-sized equity markets located in Central Eastern Europe. Pairs trading is self-financing trading strategy that identifies two stocks based on their historical relationship, and makes profit on their short-term relative mispricing, since the strategy relies on their convergence into the long- term equilibrium. The objective of this thesis is to compare two different methods of pairs trading, distance method based on minimizing the sum of squared deviations between nor- malized historical prices and cointegration method using daily data from June 2008 to March 2017. We examine whether any of those method is profitable on Prague Stock Exchange, Bucharest Stock Exchange and Budapest Stock Exchange and can be used on such markets with high industry diversity. Our findings were not stastically different from zero in all but one case and majority of average returns was negative. In comparison to US and Finnish equity markets the strategy falls behind. Even though we identified some cointegrated pairs, their profitability was more than questionable and further investiga- tion showed that small equity markets such as the ones we have studied are not a good fit for pairs trading strategy.
|
guest ::
