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The study of the relationship between average realized stock returns and the risk of stock investment
Řípa, Daniel ; Bašta, Milan (advisor) ; Cícha, Martin (referee)
Bachelor thesis deals with the topic of average return rates of stock investments and assessment of their risk. The aim of this work is a comparison of two alternative approaches of risk measurement. Twenty years long time series of 30 stocks' returns from 1991 to 2010 are first used to analyze a relationship between average realized returns and standard deviations of the returns. Variety of computational algorithms is used in attempt to generalize this relationship. Analysis of the full length time series does not seem to discover a significant mutual relationship in the analyzed dataset. However, by analogically employing the algorithm of the CAPM analysis a significant and positive linear relationship between standard deviations and realized returns was found. Furthermore, two-step regression algorithm introduced by Fama & MacBeth is used to test the validity of CAPM model. This method led to the conclusion that CAPM cannot be rejected within the analyzed dataset. Moreover, strong positive linear relationship was found between the estimates of standard deviation and beta coefficients, which may be explained by the lack of variability in correlation between individual assets' and market portfolio's returns.
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Application of technical analysis indicators on a market data
Tabiš, Peter ; Trešl, Jiří (advisor) ; Bašta, Milan (referee)
The purpose of the thesis is test of current technical analysis indicators with the support of basic statistical software (Excel and PASW STATISTICS). During the test we will apply the correlation process in order to find two less similar markets. Subsequently, we will use these markets for testing the individual indicators of the analysis. The chosen indicators are those of the highest popularity as far as the profit/loss analysis is considered.
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Linear relation in stock time series
Nemčíková, Lucia ; Bašta, Milan (advisor) ; Helman, Karel (referee)
The aim of this Bachelor's Thesis is to verify the hypothesis of absence of linear relations between logarithmic returns in the stock time series, determined from the efficient markets hypothesis and the existence of linear relations between the squares of returns. I used regression analysis and conditional heteroskedasticity ARCH test of linear type, to achieve the results. My own analysis proved that even if there is a linear relation between logarithmic returns, the relation is not significant. On the other hand the linear relation between squares of returns is significant with tendency to be strong, what is a necessary condition for the use of a linear model of volatility.
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Analysis of Temperature Time Series Measured by Stations Praha - Ruzyně and Brno - Tuřany between 1999 and 2008
Vraná, Lenka ; Helman, Karel (advisor) ; Bašta, Milan (referee)
This thesis is focused on analyzing time series of monthly average air temperatures measured at 7 AM, 2 PM and 9 PM, by climatological stations Brno - Tuřany and Praha - Ruzyně. The objective of this thesis is to employ basic time series analysis methods and to apply statistical software, concretely SPSS Statistics 17.0 and Statgraphics Centurion XVI. It deals especially with calculation of basic characteristics, time series decomposition (classical model) and description of their trend and seasonal component. This thesis examines if there is any resemblance in the progress of the series, which were measured by the same station at different times or at the same time by different stations. The thesis is divided into two parts. In the first part, there is a theoretical description of time series analysis methods and the analysis itself is in the second part.
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Statistical analysis of students' success rate in 4ST201
Vanišová, Adéla ; Malá, Ivana (advisor) ; Bašta, Milan (referee)
The main goal of this thesis is the statistical comparison of results from students who attended the course 4ST201. The data used are for the winter semester of the academic year 2008/2009. This thesis is focused on the results throughout semester and the final exam. The thesis is divided into two main chapters. The first part is a theoretical base for the calculation and it also contains information about data I worked with. The second part is a practical part and it is focused on interpretation of the results of the analysis where I examined the students' results from different aspects and tested hypotheses about interdependencies. In the conclusion findings from all calculations are summarized.
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