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High Frequency Price Index of Construction Materials
Štefl, Josef ; Polák, Petr (advisor) ; Čech, František (referee)
The paper explores the possibilities of using big data in economics in an effort to shift research from a study of statistical samples towards basic populations. To this end, the Construction Materials Price Index was created to capture price level movements in this market segment on weekly basis. This specific field was chosen because, despite its signi- ficance, it has not yet been examined in much detail by the Czech Statistical Office. The underlying index data represent the complete offer of the three most significant Czech eshops with building materials, which is periodically obtained through web scraping. The research took place between October 2021 and June 2022. The nine-month evolu- tion of the index reflects the economic recovery after the covid-19 pandemic, but also the sharp market response after the Russian invasion of Ukraine. This bachelor thesis contains a detailed description of the methods used as well as a thorough analysis of the results. JEL classification Keywords Title C43, C55, C80, E31, E37 inflation, high frequency price index, big data, web scraping, construction materials price level High Frequency Price Index of Construction Materials High Frequency Price Index of Construction Materials Josef Štefl
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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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Can a Dual-beta Five-Factor Model Explain Stock Market Variation in CEE?
Lu, Shuhong ; Čech, František (advisor) ; Chondrogiannis, Ilias (referee) ; Paulus, Michal (referee)
The study applies a dual-beta five-factor model to investigate how return is correlated with market factor, size, value, profitability and investment factors in the CEE region. Dual betas are employed in a pooled regression to account for different behaviour in different market conditions. The results show that market factor is significant across the sample period from 2003 to 2017, and the coefficient of the market factor is lower in bearish market and higher in bullish market. By employing dual betas, the explanatory power of a model has increased. However, the effect is limited, and we do not recommend using the dual-beta model due to the loss of simplicity. Post-regression diagnosis has confirmed the appropriateness of using our model by checking the key assumptions of Ordinary Least Square. Limitations are presented at the end to suggest future study.
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ETFs: Analysis of Timing and Length of Investment
Polanka, Martin ; Čech, František (advisor) ; Švéda, Josef (referee)
This bachelor's thesis provides an analysis of the effect of timing and length of investment on return with the use of ETF data. The results show evidence that both variables are affecting returns. The author found a positive relationship between the length of an investment horizon and the probability of a positive return, as well as significant differences in return among different starts of investments. Further, the author describes ETF in the context of similar investment instruments such as other types of funds and exchange-traded products with their main benefits and drawbacks.
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The transition from IBORs to new benchmarks
Ratajová, Kateřina ; Polák, Petr (advisor) ; Čech, František (referee)
The manipulation of LIBOR (London Interbank O ered Rate) and other issues around the interbank o er rates have led to their replacement by overnight rates. Some interbank o ered rates ceased at the end of 2021. Thus, this thesis is devoted to observing their behavior, estimating their drivers, and comparing them. For analysis of the rates' drivers is used ARIMAX model, which is an ARIMA model extended by exogenous variables. The possible drivers are indexes, which indicate volatility, sensibility, financial stress, and liquidity. Among key findings of this thesis are that the European IBOR rates are more prone to market volatility, which explains the impact of the European stock index. Furthermore, Bloomberg's indexes of financial condition are a good indicator for both European IBOR rates as well as British pound LIBOR and SONIA. In the US, USD LIBOR reacts to a liquidity index, while SOFR to the volatility in the market. JEL Classification F33, F37, G15, G2 Keywords interbank rates, transition, financial conditions index, LIBOR Title The transition from IBORs to new benchmarks
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Influence of stock market variables on correlations among S&P sectors
Coufal, Matěj ; Čech, František (advisor) ; Baruník, Jozef (referee)
This thesis investigates the influence of the exogenous variables (S&P 500 Index, 10-year US Treasury Note, crude oil, and CBOE Volatility Index (VIX)) on the dynamics of correlations among S&P sectors. We concentrate on daily and weekly investment horizons, and employ the bivariate Dynamic Conditional Correlation (DCC) model. Changes in correlations implied by the DCC model are further modelled using the exogenous variables. The results indicate that VIX has the best ability to predict future changes in correlations. An increase in VIX on day (week) t is expected to cause a rise in correlations on day (week) t + 1. Next, correlations of the Energy sector tend to increase in weeks when crude oil prices are falling. Further, correlations of the Information Technology sector are likely to increase on days of rising yield on the 10-year US Treasury Note. Although we detect a certain power to predict future changes in correlations, very little of these changes is actually explained. 1
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Perceiving Uncertainty on Financial Markets During the Covid-19 Pandemic
Balažovič, Matej ; Čech, František (advisor) ; Hronec, Martin (referee)
This thesis examines the effects of the COVID-19 pandemic on forward rate agreements (FRA) spreads in the Czech Republic. Since FRA serves as a useful instrument to hedge against possible risk associated with interest rate movements, it is a relevant indicator of a consensus view and perceived uncertainty about the future financial situation. We measure the effects by employing ARMA-GJR- GARCH modeling. Several COVID-19 indices, representing the government response to the pandemic, are included as explanatory variables. The results show a significant drop in FRA spreads as the pandemic began, as well as a strong increase in the FRA spreads volatility, which doubled during that period. Our main findings suggest that the COVID-19 affected the decrease of FRA spreads. However, we were not able to explain the volatility increase by the COVID-19 data.
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The relationship between the lawyer and his client under the contract of mandate
Čech, František ; Patěk, Daniel (advisor) ; Horáček, Vít (referee)
Relationship between client and attorney-at-law according to mandate contract Resume This thesis examines the legal relationship between a client and an attorney-at-law who conclude a mandate contract. Its aim is to characterize the most important rights and obligations which arise in such a relationship in accordance with valid Czech legislation, judicial decisions and disciplinary practice of the Czech Bar Association. The thesis begins with a description of the special role of attorneys-at-law in the market of legal services among other professions that are involved in provision of these services. Then it focuses on the legal nature of a commercial mandate contract, its comparison with a civil mandate contract according to Czech law, and examines whether such differences in fact have any impact on the rights and obligations in the client and attorney-at-law relationship. After a short analysis of the possible legal causes of a creation of the legal relationship between a client and an attorney-at-law and I focus on the different rights and obligations which are the content of the relationship. I start with a description of the attorney's-at-law right for remuneration and the limits of this right, where I notice the different legal views towards a success fee. Then I explain the attorney's-at-law duty to...
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Financial Stability Issues and Stress Testing of the Insurance Sector
Hauryliuk, Nadzeya ; Jakubík, Petr (advisor) ; Čech, František (referee)
The purpose of this thesis is to provide an overview of risk and vulnerabilities for financial stability of the European Insurance sector. The methods and principles of risk assessment are examined, as well as their application for the insurance sector. The current macroeconomic situation and its impact on insurers' financial stability is described. Downward changes of interest rates are identified as the biggest current risk. This results from a system-wide stress test conducted by EIOPA (European Insurance and Occupational Pensions Authority), analysis of sensitivities published by several big European Insurers published on a yearly basis and finally from an econometric analysis of the relationship between market data and changes in macroeconomic variables. Keywords financial stability, stress testing, insurance sector, insurance risks
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Dynamic Portfolio Optimization During Financial Crisis Using Daily Data and High-frequency Data
Čech, František ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on variance-covariance matrix modeling and forecasting. Majority of existing research evaluates covariance forecasts by statistical criteria. Our main contribution is economic comparison of parametric and non- parametric approaches of covariance matrix modeling. Parametric approach relies on RiskMetrics and Dynamic Conditional Correlation GARCH models that are applied on daily data. In the second approach, estimates of variance- covariance matrix are directly obtained from the high-frequency data by non- parametric techniques Realized Covariation and Multivariate Realized Kernels. These estimates are further modeled by Heterogeneous and Wishart Autoregression. Moreover, our contribution arises from the use of dataset that covers period of financial crisis. Portfolio of assets that is dynamically optimized consists of two highly liquid assets - Light Crude NYMEX and Gold COMEX, and of European asset represented by DAX index. Forecast evaluation results indicate better economic performance of models estimated on daily data. However, we found out that data synchronization procedure is the main driver of the results.
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