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The future of automated investment advisory in the Czech Republic
Sychra, Pavel ; Musílek, Petr (advisor) ; Brodani, Jana (referee)
The diploma thesis is focused on digitalization of investment advisory. Thesis deals with implementation of automated advisory in Czech conditions. The first part consists of definition of investment advisory from the point of investment theory. There are also introduced current conditions of investment activity, investment knowledge and advisory in the terms of Czech market. The second part is dedicated to analysis of robo-advisory abroad. The last part of this thesis contains identification of main risks, options and possible benefits of implementation of automated investment advisory in the Czech Republic.
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Hedge Funds and Their Impact on Financial Markets
Jeřábek, Tomáš ; Musílek, Petr (advisor) ; Daňhel, Jaroslav (referee) ; Čihák, Petr (referee)
The aim of this PhD thesis is to analyze the history and current situation of hedge funds and assess their potential to destabilize financial markets. The findings of the analysis are used to validate the assumptions underlying the major regulatory changes of hedge funds in the key global economic centres after the financial crisis in 2008 and 2009. Since their inception early last century hedge funds have gone through a period of great expansion in the sixties, followed by a decline due to large losses sustained in the early seventies. The nineties meant a real breakthrough for hedge funds as a result of which they became prominent players in the alternative investment space. As of today, there is over ten thousand hedge funds that globally manage close to 3 trillion US dollars. Compared to mutual funds and other financial institutions the volume of assets under management is still relatively small, the rate of growth over the past fifteen years has however been very significant. What is emphasized with respect to the impact of hedge funds on financial markets is the contribution to increasing the liquidity and efficiency and their role on the financial derivatives market where hedge funds are actively involved in the transfer of risk. They are at the same time subject of criticism for their purported destabilizing effect on financial markets and contribution to fluctuations in the prices of investment instruments. Although the share of hedge funds in triggering major financial crises has not been conclusively established, these investment entities were one of the targets of the wide-ranging regulatory changes following the financial crisis of 2008 and 2009. The dissertation first discusses the history and current situation of hedge funds and defines the term hedge fund. The following section describes the basic characteristics and principles of their functioning and reviews the regulation in the major domiciles. The final chapter is focused on the empirical analysis of the impact of hedge funds on financial markets. The inputs for this analysis include a global hedge fund index and representative market indices and data from the CFTC on positions in the 10 year US government treasury note futures. In the first step the descriptive statistics for the transformed time series are presented. The second part of the analysis focuses on lagged correlations between returns and volatility of the global hedge fund index and representative market indices. Granger causality tests are applied in the following section to determine the relationships between the returns and volatility of hedge fund and representative market indices. In the final step of the analysis Granger causality tests are used to analyze the link between the changes in positions in the 10-year US treasury note futures held by hedge funds and the change in settlement prices of these futures with the aim to assess whether hedge funds have the capacity to move the market. In conclusion, the results of this analysis are discussed in light of the recent regulatory changes and the potential for the future growth of hedge funds is assessed.
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Comparison of Tokyo, Shanghai and Hong Kong stock exchanges
Dýma, Dominik ; Veselá, Jitka (advisor) ; Musílek, Petr (referee)
The bachelor thesis presents a comparison of Tokyo, Shanghai and Hong Kong stock exchanges. It is divided into three chapters. The first chapter contains a comparison of historical development of stock exchanges, cooperation and networking. The second chapter is divided into two parts. The first part focuses on the investment instruments that are being traded. The second part deals with the manner of trading, i.e. trading systems of individual stock exchanges. The final chapter is devoted to analysis of exchange data, including selected equity indices, market capitalization and number of listed companies. The main objective of this work is to define the same and different characteristics of each stock exchange markets and their comparison.
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Foreign Mortgage Covered Bonds as Source of Funding for Czech Banks
Živanský, Jakub ; Musílek, Petr (advisor) ; Cibulka, Jakub (referee)
This Diploma Thesis describes foreign mortgage covered bonds which can be issued by Czech banks under English law on foreign regulated markets after the amendment to the Czech Act No. 190/2004 Coll., the Bonds Act, as amended took effect in 2012. The Diploma Thesis outlines basic characteristics of foreign mortgage covered bonds, lists reasons for their issuance, and compares them with certain alternative sources of funding for banks. The Diploma Thesis describes the structure of programme and issuance documentation used in the international capital markets. The author points out certain regulatory deficiencies existing under Czech law and proposes amendments in support of the international investment attractiveness of foreign mortgage covered bonds of Czech banks. The Diploma Thesis also analyses selected issuances of foreign mortgage covered bonds by Czech banks.
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Testing the theory of efficient markets
Henzlová, Pavla ; Musílek, Petr (advisor) ; Cibulka, Jakub (referee)
This thesis is focused on testing the weak effectiveness of the US, Japanese, German and Czech market in the period 1995 - 2015. The first part contains a theoretical basis for the theory of efficient markets, the conditions, characteristics and models. Further test methods of weak market efficiency are presented and semistrong and strong effectiveness mentioned. The practical part deals with the introduction of tested stock exchange indices and by testing the weak effectiveness of these markets through tests of randomness, variance ratio test and serial correlation.
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Analysis of the development of the hedge fund regulation
Galíková, Kateřina ; Musílek, Petr (advisor) ; Cibulka, Jakub (referee)
The aim of this diploma thesis is to assess the post-crisis development of the hedge fund regulation both in the EU and in the United States as well as to outline the regulátory trends in this area. The fist part of the thesis is dedicated to the explanation of the term hedge fund by comparing it with a mutual fund, venture capital fund and a private equity fund. In the second part of the thesis I captured an overview of hedge fund strategies and their classification. The third chapter deals with various possible regulatory approaches including their impact. In this part I also describe in detail the development of the hedge fund regulation in the United States since the thirties of the last centure up to now. Part of the thesis dedicated to the EU focuses on understanding the requirements set by Alternative Investment Fund Directive and its implementation in the individual national legislations. Finally, a comparison of the individual requirements is provided and supplemented with my own findings.
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Consolidation of the banking sector in the Czech Republic and the impact on performance of banks
Rod, Aleš ; Kadeřábková, Božena (advisor) ; Musílek, Petr (referee) ; Mejstřík, Michal (referee)
The dissertation thesis analyzes reasons for the consolidation of the banking sector in the Czech Republic, the shape of the consolidation and impact of the consolidation institution's activities on the performance of the Czech banking sector. The first part of the research deals with the reasons for consolidation, i.e. specificities of the banking sector in the Czechoslovakia before 1989 and the transformation of the banking sector during the 1990s. The factors analyzed significantly influenced the processes of disintermediation, universalization and diversification in commercial banking. The analysis of banking profitability measures, which is the second part of my dissertation thesis, employs those aspects mentioned above. The thesis concludes there was an objective necessity to consolidate the banking sector after 1990. However, the consolidation process had been influenced by both a deficient institutional environment and inflation of goals set for consolidation institutions. This generated inefficiencies related to the activities of consolidation institutions (e.g. the management of receivables and rent-seeking) and also influenced the income and profit performance measures of the banking sector in the Czech Republic.
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The role of rating at capital markets
Petrželová, Soňa ; Musílek, Petr (advisor) ; Derner, Tomáš (referee)
The thesis elaborates on the development of the rating at capital markets and its regulation in the context of the global financial crisis. The first part focuses on the definition of the rating, the kinds and types of grant, explanation of the symbols in the rating scale, the rating process and activities of credit ratings agencies. The second part compares the different development of credit rating industry in the United States of America and in the European Union. It also deals with the participation of credit rating agencies in the financial crisis. The last part is concerned with the Dodd -- Frank Act and Regulation 1060/2009 on credit rating agencies as two different measures granted after crises. The thesis analyzed also their impact on the credit rating industry.
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Using of Macroprudential Policy and Risk Indicarors for Financial Markets Regulation
Šimáček, Milan ; Daňhel, Jaroslav (advisor) ; Musílek, Petr (referee) ; Řežábek, Pavel (referee)
This dissertation provides a complex study of systemic financial risk and its quantification. In the first part, the paper summarizes the main assumptions and tools of macroprudential policy, which became an important regulatory policy after the financial crisis of 2007-2009. The main parts of the paper deal with the construction of indicators of financial systemic risk and stress, where the paper distinguishes the quantitative expression of the contemporaneous financial stress from the continually developing systemic risk. The paper analyzes several methods of financial stress index construction, whose main task is to identify the contemporaneous rate of risk in different sectors of financial system using market prices of assets. The outcome of the paper is the identification and historical description of periods of heightened financial stress and the recognition of a regional character of the periods of stress. Apart from the index of the contemporaneous stress of financial system, the paper brings a systemic risk indicator, which captures the development of systemic risk in time, and which is a suitable leading indicator for the identification of periods of financial stress. The systemic risk indicator has identified, with a lead of two to three years, the increasing risk of the banking sectors of the countries in the region before the onset of the financial crisis of 2007-2009. In the conclusion, the paper points out the suitability of both indicators for the calculation of the amount of countercyclical capital buffer used in the new Basel III measures.
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Stock market panics, safe havens and implications for the portfolio management
Hýža, David ; Musílek, Petr (advisor) ; Derner, Tomáš (referee)
The thesis addresses the instabilities in stock markets in the USA. There are many factors that may increase the price volatility, or even cause a panic. During these turbulent times investors can seek shelter in investment safe havens that allow protecting their portfolio against significant financial losses. The focus is put on identifying the situations where it is appropriate to use the safe havens and how to properly time all transactions. Historical insight, events study and investigating economic cycles are the integral part of the work.
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