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Impact of investors' mood on European stock markets
Rosol, Jaroslav ; Kočenda, Evžen (advisor) ; Šťastná, Lenka (referee)
This thesis investigates into relationship of mood and stock markets. As proxies for mood we selected Daylight Savings Time changes, Lunar cycles and football results. Any abnormal returns on related days would present a challenge for Efficient Markets Hypothesis. We examine stock returns on corresponding days using up-to-date daily data of European All Share indices and analyse them us- ing ARMA-GARCH model. Our results for Daylight Savings Time change are neither uniform nor statistically significant with one exception. Even though results for Lunar cycles mostly follow expected positive relationship, they also lack statistical significance. For France and Croatia we find statistically signif- icant negative relationship between wins of national teams and stock returns, which goes against our expectations and previous research. Statistically sig- nificant negative relationship is expected for days after losses and potential elimination of national teams from competition as we confirmed for Croatia and Italy. JEL Classification G14, G41, D53, D91 Keywords Finance, Shares, Mood, Seasonals Author's e-mail 23060835@fsv.cuni.cz Supervisor's e-mail evzen.kocenda@fsv.cuni.cz
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Equilibrium Exchange Rates and Exchange Rate Misalignments in the Visegrad Group
Pavlikova, Patricia ; Holub, Tomáš (advisor) ; Kočenda, Evžen (referee)
Title: Equilibrium Exchange Rates and Exchange Rate Misalignments in the Visegrad Group Author: Patricia Pavlikova Department: Institut of Economic Siences Supervisor: doc.Mgr. Tomáš Holub Ph.D, IES Abstract: The main objective of this diploma thesis is to estimate equilibrium exchange rates for four countries forming Visegrad Group partnership and to evaluate whether their exchange rates are overvalued, undervalued or in equilibrium with their economic development and with market. We focused on two widely used models, Behavioral Equilibrium Exchange Rate Model and Fundamental Equilibrium Exchange Rate Model and estimated several alternations of each model. Results where then compared and we derived implications for each country. We could clearly see that each country is developing differently in terms of equilibrium exchange rates. While the exchange rate of Czech Republic seems to oscillate steadily around its equilibrium value, we spotted higher misalignments for the rest of the country. Also, we saw that Hungary is on path of constant depreciation, which is related with economic issues country is struggling. Polish Zloty is characterized by overall high amplitude of movements of its exchange rate and by frequent undervaluation of the currency, implying favorable development of the economy, taking into...
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Connectedness and spillover effects between forex and stock markets: Evidence from Scandinavia
Mkhitaryan, Arman ; Kočenda, Evžen (advisor) ; Geršl, Adam (referee)
In this thesis, we study the return and volatility spillovers between forex and stock markets in Scandinavian countries employing recently developed method- ology of spillover indices. Those measures are based on forecast error variance decomposition of generalized vector autoregressive (GVAR) model. This allows us to estimate both total and directional spillovers. Moreover, frequency connect- edness analysis is conducted by decomposing the spillover indices into frequency bands, corresponding to short-, medium- and long-run connectedness. We used daily data for major stock market indices and exchange rates of domestic cur- rency towards US dollar for Norway, Sweden, Denmark and Finland. Our data spans from February 2002 till July 2018 that covers turmoil periods of global fi- nancial crisis in 2007-2009, European sovereign debt crisis 2010-2013 and Brexit referendum in mid 2016. Our empirical analysis reveals that Norwegian financial markets do not contribute much to both return and volatility spillovers. On the other hand, euro and Danish FX market perform very similarly, by exhibiting the highest spillover contributions for both returns and volatility. Furthermore, distinct increasing trends in spillovers are revealed during the turmoil periods for most of the markets. From frequency...
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Impact of zombie firms on the weak post-crisis growth of the Slovak Republic
Bosák, Martin ; Pleticha, Petr (advisor) ; Kočenda, Evžen (referee)
According to the Convergence Analysis of Slovakia from 2017, the current subject of Slovak economic growth and convergence is the slow growth in productivity as relative productivity of Slovakia to the EU average was decreasing in the period from 2014 to 2017. Moreover, it shows that Slovakia is one of the countries with low efficiency of using labour and capital, which means that there is an occurrence of misallocation of resources. A significant role in this downturn according to recent literature might be the occurrence of zombie firms, which are old companies that do not have sufficient profitability to cover their interest expenses for a longer period. This thesis examines zombie firms and their significance in stifling productivity performance. Using a rich firm-level dataset for Slovakia, we research the determinants of zombie companies in Slovakia. Controlling for cyclical effects, this thesis reveals that zombie enterprises over the period from 2003 to 2013 were significantly less productive compared to their healthy competitors. In addition, we find out that occurrence of zombie companies curbs the growth of healthy companies and has a negative impact on the economic output overall. These results are raising several issues for public policy as it needs to mitigate this cause of...
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Baltic Stock Market Integration
Stulga, Šarūnas ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the...
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Are realized moments useful for stock market returns analysis?
Saktor, Ira ; Baruník, Jozef (advisor) ; Kočenda, Evžen (referee)
This thesis analyzes the use of realized moments in asset pricing. The analysis is done using dataset containing log-returns for 29 of the most traded stocks and covering 10 years of data. The dataset is split into training set covering 7 years and test set covering 3 years of data. For each of the stocks a separate time series model is estimated. In evaluation of the quality of the models, metrics such as RMSE, MAD, accuracy in forecasting the sign of future returns, and returns achievable by executing trades based on the recommendations from the model are used. Even though the inclusion of realized moments does not provide significant improvements in terms of RMSE, it is found that realized skewness and kurtosis significantly contribute to explaining the returns of individual stocks as they lead to consistent improvements in identifying future positive, as well as negative, returns. Moreover, the recommendations from the models using realized moments can help us achieve significantly higher returns from trading stocks. Inclusion of the interaction terms for variance and returns, skewness and returns, and kurtosis and variance, provides additional improvement of forecasting accuracy, as well as improvements in returns achievable by executing transactions based on recommendations from the model....
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Effect of Election Preferences on the Stock Prices
Efros, Ganna ; Kočenda, Evžen (advisor) ; Schwarz, Jiří (referee)
There exist a lot of empirical researches, that examine what factors effect the stock market volatility. The concept of investor sentiment is quite popular and is frequently discussed. However, there does not exist any research which would study the relation between the change in election preferences during the presidential campaigns and stock market volatility. The present thesis explores the effect of political sentiment on United States and French models. Here, we construct the model, which examines the effect of change in election preferences on the volatility. The results suggest, that change in election preferences does not affect the stock market volatility during the presidential campaign. Thus, its inclusion to the model does not increase the prediction power.
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Equity incentives and company performance
Šářec, Theodor ; Kočenda, Evžen (advisor) ; Hlaváček, Michal (referee)
1 Abstract The equity-based incentives are considered to be one of the instruments helping to motivate executives. The use of this compensation framework should in theory tackle and mitigate the agency problems, and prevent the possible attempts of managers to pursue their own interest over the interests of shareholders. The literature focusing on the effects differs greatly. There is no conformity over the effect of equity compensation on company performance. This research study the effect of CEO-related equity incentives and stock ownership on company performance. The main finding is the positive effect of the equity incentives measured by the percentage of CEOs' equity- based compensation on company performance proxied by the change in Tobin's Q. The thesis does not find any significant effect of insiders' stock ownership. The dataset of 107 publicly traded US companies is used for the empirical analysis. The results are estimated based on a fixed effects model and pooled ordinary least squares. This thesis contributes to the ongoing debate over the effects. It also widens the narrow literature on the structure of compensation. JEL Classification M120 Keywords Equity-based, CEO, compensation structure, equity ownership, company performance Author's e-mail theo.sarec@gmail.com Supervisor's e-mail...
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