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The Causal Effect of Parents' Schooling on Children's Schooling: A Meta-Analysis
Pokorná, Anastasia ; Havránková, Zuzana (advisor) ; Kukačka, Jiří (referee)
One of the topics concerning education's improvement is the intergenerational transmission of education. The main goal of our study is to analyse the causal efect of parents' education on children's education. We collect 387 estimates of the causal efects from 23 studies. Using our dataset and meta-analytic methods, we test for the presence of publication bias in the literature and try to explain the heterogeneity in the results of the primary studies. After correction for publication bias, the mean becomes smaller than the mean reported in the literature and varies from 0.044 to 0.185. For exploring the heterogeneity of the estimates we use Bayesian Model Averaging and Frequentist Model Averaging. Our results suggest that there is a country heterogeneity in the estimates of the causal efect. Moreover, controlling for the size of a household in the original regression is important for the explanation of the diferences in the results of the primary studies. In addition to it, we collect 605 estimates of the non- causal associations from 39 studies and analyse the publication bias and the heterogeneity of results also using this sample. 1
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Order book microstructure and fair price estimation on betting exchanges
Smutný, Josef ; Fanta, Nicolas (advisor) ; Kukačka, Jiří (referee)
The aim of this paper is to predict the fair price as accurately as possible from the microstructure of the orderbook on Betfair, the world's largest betting exchange. In particular, the work focuses on the analysis of the effect of disproportionately large quotes on the fair price of the market. It also addresses their theoretical monetization in practice in the case of market inefficiency. The results show that, from the data examined, traded markets are relatively efficient and the factors that can be inferred from the microstructure of the orderbook are, in the vast majority of cases, not statistically significant for predicting the fair price of a given event. However, the data do show exceptions where, in particular types of markets, these quotes are statistically significant and have the expected impact on the model's prediction in the form of increasing the probability of the selection they want to trade. Thus, the model prediction can in some cases be used as a fair price indicator by which one could theoretically trade profitably on Betfair or even on other platforms, assuming they offered a better price. Keywords Betting exchange, Fair price, Quotes, Betting odds, Back, Lay, Spread Title Order book microstructure and fair price estimation on betting exchanges
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Multi-country ABM perspective on business cycles and deleveraging crises
Mačejovský, Alexander ; Kukačka, Jiří (advisor) ; Baxa, Jaromír (referee)
Multi-country ABM perspective on business cycles and deleveraging crises Thesis Abstract Alexander Maèejovský August 2, 2022 We contribute to the existing literature on macroeconomic impacts of wage exibility by examining complexly interacting open economies which undergo economic crises characterized by debt-de ation. More generally, con- sideration of complexity of interactions and feedback eects between trading countries in our model also constitutes an interesting contribution to the literature on open economies, which usually utilizes small open economy mo- dels. We utilize multi-country agent-based model with decentralized markets which produces endogenous economic crises characterized by de ation and excessive levels of private debt. We examine scenarios with dierent inter- national trade settings and sizes of countries. We nd that under almost all scenarios, more stable wages have stabilizing macroeconomic eects as demand-driven recovery is faster and smoother than the one driven by incre- ased margins of rms and consequent debt deleveraging. Moreover, if coun- tries with dierent levels of wage exibilities trade with each other, recessions in the country with more exible wages become milder as international trade helps to increase sales of crisis-hit rms without initiating crisis of a similar...
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Overconfidence and retail investors: case of a "kangaroo" market
Mitro, Tomáš ; Kukačka, Jiří (advisor) ; Janda, Karel (referee)
In recent times, financial markets have undergone major changes. Availability of participating on trading activity on the market has increased thanks to zero-fee brokerages. New assets, cryptocurrencies, have become a mainstream invest- ment option. A global pandemic has brought uncertainty and large volatility. In this thesis, I aim to study how these new market conditions have affected presence of overconfidence during the period of early 2019 to early 2022. I explain in what forms can overconfidence patterns be observed in people and on financial markets. Then I test for presence of these patterns using four hypotheses. Findings of this thesis suggest that there is no significant differ- ence of overconfidence manifestation between stock data and cryptocurrency data. Results suggest that riskiness of assets affects how strongly are the pat- terns of overconfidence detected. Finally, different patterns of overconfidence are detected for different frequencies of data, suggesting connection between overconfidence and retail investors. JEL Classification G40, G12, C32 Keywords overconfidence, retail investors, cryptocurrency, trading Title Overconfidence and retail investors: the case of a 'kangaroo' market
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The Impact of Popular Sports Events on the Local Stock Markets
Konvičný, Martin ; Čech, František (advisor) ; Kukačka, Jiří (referee)
The diploma thesis studies the impact of hosting popular sports events and sports results on local stock market indexes and sponsors' stock using ARMA- GARCH and ARMA-DCC-GARCH models between January 2009 and May 2021. The empirical evidence shows that sports results positively affect the returns of emerging stock market indexes in some cases. However, hosting mega sports events has a limited impact on local financial markets. I did not observe any significant loss effect after defeats. According to research results, sports variables do not influence the stock variance. Despite controlling for dependencies related to soccer sentiment, significant interdependencies across Polish and Ukrainian stock market indexes still occurred. That implies other factors are driving the correlation between the stock markets. JEL Classification G41, D53, D81, C58, Z2 Keywords sports sentiment, stock markets, behavioral fi- nance, sports events Title The Impact of Popular Sports Events on the Lo- cal Stock Markets
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Gold as a Stable Asset in Economic Recession: An Econometric Analysis
Petrželka, Václav ; Baruník, Jozef (advisor) ; Kukačka, Jiří (referee)
Due to its reliability, durability and rarity, gold has been seen for centuries as a safe haven investment that should prevent large losses during financial crises. However, the question arises whether this characteristic is still relevant for gold. In our thesis, we distinguish between two main aspects of a safe haven asset, namely the degree of volatility and the ability to predict as accurately as possible the evolution of the volatility of a given asset. The major economic crises of the 20th century show us that the volatility of gold during them was lower than that of other assets. We therefore follow up with a detailed analy- sis comparing the volatility of daily returns for gold, stocks, commodities and cryptocurrencies over the period 2006-2021. We find that gold volatility was indeed lowest during the Great Recession after 2007 and after the outbreak of the Covid-19 pandemic in 2020. We also confirm an asymmetric response to negative returns for stocks and commodities, which is not the case for gold and cryptocurrencies. We test the ability to predict assets by comparing predicted daily volatilities and realized daily volatilities over more than a six-month inter- val in 2014 and 2021. We find no relationship to confirm that gold has higher predictability than other assets. Our findings...
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Dutch disease in Russia
Havelka, Robert ; Horváth, Roman (advisor) ; Kukačka, Jiří (referee)
Dutch disease in Russia Robert Havelka Abstract Dutch Disease offers formal explanation to the so-called "Resource curse". Detection of Dutch Disease is divided into individual symptoms. We study the case of Russia, i.e. country which possesses significant reserves of natural resources. Long-term relationship between oil price and Russian real exchange rate was not established (1st symptom), but we find evidence of growth and fall of overall wage level in Russia as predicted by Dutch Disease (2nd symptom). We have been able to find statistically significant long-term relationship between Russian GDP, oil price and crude oil export volumes (3rd symptom). Oil price is found to have positive impact on the output of manufacturing sector, which implies Russian economy is to even larger extent vulnerable to oil price shocks. Last link is in direct contradiction with predictions of our model, but it is likely the result of Russian manufacturing sector not being entirely "non-oil", or that some manufacturing sub-sectors are not producing tradable goods. JEL Classication F30, P28, Q30 Keywords Dutch disease, Russia, exchange rate Author's e-mail robberthz.cz@gmail.com Supervisor's e-mail roman.horvath@gmail.com
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Artificial Prediction Markets, Forecast Combinations and Classical Time Series
Lipán, Marek ; Baruník, Jozef (advisor) ; Kukačka, Jiří (referee)
Economic agents often face situations, where there are multiple competing fore- casts available. Despite five decades of research on forecast combinations, most of the methods introduced so far fail to outperform the equal weights forecast combination in empirical applications. In this study, we gather a wide spectrum of forecast combination methods and reexamine these findings in two different classical economic times series forecasting applications. These include out-of- sample combining forecasts from the ECB Survey of Professional Forecasters and forecasts of the realized volatility of the U.S. Treasury futures log-returns. We asses the performance of artificial predictions markets, a class of machine learning methods, which has not yet been applied to the problem of combin- ing economic times series forecasts. Furthermore, we propose a new simple method called Market for Kernels, which is designed specifically for combining time series forecasts. We found that equal weights can be significantly out- performed by several forecast combinations, including Bates-Granger methods and artificial prediction markets in the ECB Survey of Professional Forecasters application and by almost all examined forecast combinations in the financial application. We also found that the Market for Kernels forecast...
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Momentum in Stock Returns: Analysis for European Countries
Drmotová, Kristýna ; Kukačka, Jiří (advisor) ; Maršál, Aleš (referee)
This thesis investigates one of the most pervasive anomalies in the behaviour of stock returns, the momentum. We analyse whether there is momentum in European stock returns that would generate profitable investment strategies. First, we compute the average monthly returns on strategies built in accordance with the existing literature. Next, we compare returns on momentum strate- gies between markets with different levels of capitalization and development. Further, we test whether these returns can be explained as the compensation for risk exposures through the Capital Asset Pricing Model. We find that even though the underlying risk has perceptible predictive power for stock re- turns, there still remains a substantial part of abnormal returns unexplained by this model. Therefore, we extend it with additional explanatory variables that might have a predictive power for stock returns according to the Fama & French (1993) three-factor model and Fama & French (2015) five-factor model. We find that stocks that performed best over the short-term past tend to con- tinue to outperform other stocks and stocks that performed worst tend to have one of the lowest returns in subsequent months. We find that strategies based on buying past winners yield statistically significant positive abnormal returns. Furthermore,...
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