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Seasonal Effects on Stock Markets in Europe
Rosol, Jaroslav ; Kukačka, Jiří (advisor) ; Čornanič, Aleš (referee)
This thesis researches the problem of stock market efficiency and market anomalies. Specifically, we look on European stock markets and possible presence of four seasonal effects - January, Halloween, Turn-of-the-month and Monday effects. These seasonal anomalies imply that returns for specific period are unusually higher or lower than returns for the rest of the time, which presents a challenge for the Efficient Market Hypothesis. The empirical side of this problem is the possible opportunity for excessive profit from trading on stock markets that could be based on the seasonal anomalies. Firstly, we summarize previous research in the field and attempts of explanation of individual effects. Further, we present the tools needed for our analysis - Ordinary Least Squares regression with dummy variables and few extensions. Data used for the analysis consists of 32 European stock indices. The actual analysis is performed as a comparison of returns on stock for certain specified periods. The evidence on January and Monday effects is found not strong enough to confirm the presence of such anomalies. On the other side, there is enough significant evidence on the presence of Halloween and Turn-of-the-month effects. Moreover, we are unable to explain the Halloween effect as manifestation of January effect. Powered...
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An empirical study of impact of inclusion and exclusion from an Index on stock prices
Vellechová, Karolína ; Vozárová, Pavla (advisor) ; Fanta, Nicolas (referee)
This thesis studies the effect of index components changes on the stock prices of added and deleted components. Specifically, the thesis follows two market indexes from Western Europe, CAC 40 and DAX 30, in the period from financial crisis in 2008 to 2020. The theory of Efficient Market Hypothesis suggests that index components change should not impact firm's price, because the index membership is supposed to have no new information, the findings of various researchers found out the opposite. There are several hypotheses, which try to explain these effects. In this thesis three methods were used to estimate the effect of addition and deletion, these were abnormal return, abnormal trading volume and close open difference calculation. The results obtained by all three methods were mostly consistent with the results of previous studies of the US indexes. The calculation of abnormal volume reported significant and expected results for both indexes, which suggested that the day before the change has the highest abnormal volume. Also, the results for close open differences discovered expected pattern, that the highest change happens usually on the day after announcement, which informs about how fast investors reply to index change. The abnormal returns for the CAC 40 index show expected significant...
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Credit Derivatives Market during Recent Financial Crisis
Buzková, Petra ; Teplý, Petr (advisor) ; Tripe, David (referee) ; Witzany, Jiří (referee) ; Dědek, Oldřich (referee)
The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...
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Seasonal Effects on Stock Markets in Europe
Rosol, Jaroslav ; Kukačka, Jiří (advisor) ; Čornanič, Aleš (referee)
This thesis researches the problem of stock market efficiency and market anomalies. Specifically, we look on European stock markets and possible presence of four seasonal effects - January, Halloween, Turn-of-the-month and Monday effects. These seasonal anomalies imply that returns for specific period are unusually higher or lower than returns for the rest of the time, which presents a challenge for the Efficient Market Hypothesis. The empirical side of this problem is the possible opportunity for excessive profit from trading on stock markets that could be based on the seasonal anomalies. Firstly, we summarize previous research in the field and attempts of explanation of individual effects. Further, we present the tools needed for our analysis - Ordinary Least Squares regression with dummy variables and few extensions. Data used for the analysis consists of 32 European stock indices. The actual analysis is performed as a comparison of returns on stock for certain specified periods. The evidence on January and Monday effects is found not strong enough to confirm the presence of such anomalies. On the other side, there is enough significant evidence on the presence of Halloween and Turn-of-the-month effects. Moreover, we are unable to explain the Halloween effect as manifestation of January effect. Powered...
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Behaviour of Stocks on the Prague Stock Exchange During the Financial Crisis: Evidence from Empirical Research
Koza, Oldřich ; Teplý, Petr (advisor) ; Krištoufek, Ladislav (referee)
This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient.
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Komparace teorií Keynese, Akerlofa a Hayeka o životním elánu
Konderlová, Dominika
Comparison of the theories of Keynes, Akerlof and Hayek about the animal spirits. Bachelor thesis. Brno: Mendel University, 2016. This bachelor thesis is focused on finding connections between their animal spirits and the existence of the order in macroeconomics by various authors. The aim is to analyze and compare the attitude of John Maynard Keynes, George Arthur Akerlof, Friedrich August von Hayek and other relevant economists the problem of animal spirits. Work includes in particular views on two very different theories - theories of Keynes and Hayek. Furthermore, a comparison of these two theories and others theories that have evolved from Keynesianism. Attention is also paid to the views of selected contemporary economists on the issue of the financial crisis.
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Determinism, Path-depedence and Uncertainty: A Post-Keynesian Perspective
Máslo, Lukáš ; Chytil, Zdeněk (advisor) ; Janíčko, Martin (referee) ; Pastoráková, Erika (referee)
The thesis deals with analysis of conceptual-methodological issues examined in the framework of post-keynesian economics. The author´s goal is to supply a solution to the problem of a definition of determinism/non-determinism for both deterministic and stochastic systems and also to the problem of the prevailing confusion which surrounds the notion of reversibility/irreversibility in both path-dependent and traditional-equilibrist systems. The author regards the determinism/non-determinism problem as essentially linked to the problem of a definition of fundamental uncertainty. The key issues are being identified in the "problem of a generator of endogenous shocks" and the "selection - creation problem". Finding solutions to these enables us to take a stand on the validity/invalidity of the classical dichotomy, in the eyes of the author. Davidson´s interpretation of ergodicity and O´Donnell´s critique of this are being presented and, drawing on the latter, along with Álvarez-Ehnts´ critique, the author rejects a simplifying pattern of Davidson´s, according to which neoclassical economics is based on the ergodic axiom. The author suggests a solution to the "selection - creation problem" consisting in distinguishing epistemological determinism from ontological determinism on the one hand, and epistemological determinism from epistemological non-determinism on the other hand. While selection is a characteristic feature of epistemological determinism and, in effect, the realm of "fundamental certainty", creation is referred to by the author as a characteristic feature of epistemological non-determinism, i. e., in effect, the realm of fundamental uncertainty. The author regards the "problem of a generator of endogenous shocks" a self-contradictory notion, based on the principle of causality and the law of non-contradiction, and suggests a solution to the problem consisting in rejection of the concept of shock endogeneity. At the same time, the author rejects Davidson´s "fundamental neoclassical article of faith" rhetoric, based on the first cause argument implied by the principle of causality. In opposition to Davidson, the author regards fundamental uncertainty being of a basically epistemological nature, consisting in our ignorance of the "ultimate law of change", the "Devine formula". Unlike O´Donnell, however, who puts stress on the element of epistemological uncertainty in his epistemological approach to uncertainty, the author also puts stress on the element of ontological certainty, consisting in our knowledge of the existence of the "Devine formula", apart from our epistemological uncertainty.
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Determinants of profitability in banking sector
Mrázek, Martin ; Rod, Aleš (advisor) ; Chytilová, Helena (referee)
This thesis analyzes devolopment of profitabilty and market structure of banking sector in the Czech Republic, Slovakia, Poland and Hungary. Empirical results are consistent with structure-conduct-performance hypothesis, on the other hand efficiency hypothesis seems to be unlikely. These conclusions are furthermore supported by DEA efficiency analysis. Results of non-structural Panzer-Rosse model suggest that during the period under consideration, market outcome was similar to monopolistic competiton. The results of regression analysis reveal that bank-specific variables, share of banking deposits on GDP, GDP growth and interest rates are the main drivers of banking sector profitability.
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Market efficiency and automated trading
ZEMAN, Petr
The dissertation thesis deals with the problem efficiency of the spot currency market. The main aim of this thesis is to verify the Efficient-market hypothesis on the majo foreign exchange pairs, and especially in the short term. The author focuses on the effective functioning of foreign exchange markets. The behaiour of the five main spot foreign exchange pairs - EUR/USD, GBP/USD, USD/CHF, USD/JPY and USD/CAD was analyzed in the thesis. Due to the increasing rise of intraday trades and growing popularity of margin accounts among retail investors, spot rates have been investigated primarily through a high-frequency data, that were collected for a period equal to or shorter than one day. The hypothesis of the effective exchange rate behaviour was verified by both using statistical methods, such as through automated trading systems, which were designed to assess the economic importance of the theory and to exclude or confirm the possibility of achieving above-average profits of retail investors on the foreign exchange markets.
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Limits to the Efficiency of the Capital Market
Vyhlídka, Jan ; Pošta, Vít (advisor) ; Lopušník, Ondřej (referee)
The aim of this study is to gather insights into market efficiency and mechanisms that work in the financial markets. It provides a framework with an emphasis on liquidity and the failure of arbitrage that deepens our understanding of various financial crises. Described mechanisms are particularly relevant for the last financial crises - including 2007-2009, LTCM, and dot-com bubble. In the first chapter the concept of efficient markets is introduced. In the second chapter it is challenged from the point of view of noise trader theory and limits of arbitrage. The third chapter deals with market microstructure and liquidity. Last chapter shows importance and adverse effects of externalities, particularly of those causing liquidity spirals.
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