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Impact of European Central Bank and Federal Reserve System statements on cryptocurrency markets via sentiment analysis
Krejcar, Vilém ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
This study explores the impact of public statements from major central banks, specifically the FED and the ECB, on Bitcoin volatility from 2018 to 2021. Utilizing high-frequency data, we computed Bitcoin's volatility and extracted sentiment scores from the central banks' communications using two methods: the FinBERT language model and the state-of-the-art Generative AI GPT-4 model with tailored prompt. The GPT-4 model, capturing more nuanced senti- ment from text, was deemed superior. Our analysis involved comparing various models, with the HAR model emerging as the most e ective for this study. The research findings are particularly significant: negative sentiment from the ECB during the pandemic was associated with immediate and significant increases in Bitcoin volatility, indicating a market reaction of caution when faced with negative emission. These findings highlight the significant impact of central bank sentiment on Bitcoin volatility, confirming the initial hypothesis of this research. Additionally, the results provide a motivation to incorporate Genera- tive Artificial Intelligence into academic research as a tool for uncovering novel insights. JEL Classification C32, C55, C58, E58, G15 Keywords central banks, sentiment analysis, volatility, Bit- coin, GenAI, HAR, FED, ECB Title Impact of European...
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Analysing the ESG stocks: Are they less volatile?
Stejskal, Jakub ; Čech, František (advisor) ; Hanus, Luboš (referee)
In this thesis, we investigate the relationship between ESG (Environmental, Social, and Governance) scores and stock volatility using panel data analysis. Focusing on data from 2 095 companies from three major stock exchanges - NAS- DAQ, NASDAQ Nordic, and Johannesburg stock exchange in the time window of 2016-2023, we employ fixed effects and random effects models with robust standard errors. We examine the overall impact of ESG scores on volatility, the influence of individual pillar scores, industry and stock exchange-specific effects, and time-specific effects. The thesis enhances existing literature by exploring three previously unexamined trends: non-linear dynamics between low-ESG score and volatility, the evolution of the trend over time by using an expanding time-window approach, and geographically and market-specific ef- fects by utilizing data from different stock exchanges. The results from our analysis indicate that while the influence of ESG scores on overall stock volatil- ity across the dataset is insignificant, significant correlations were observed in certain industry-specific models. The Technology, Industrials, and Healthcare sectors displayed a significant negative correlation between Governance scores and volatility. Moreover, for stocks listed on NASDAQ Nordic, there was a...
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How do transaction costs influence performance and optimal portfolio selection
Černý, Ondřej ; Polák, Petr (advisor) ; Čech, František (referee)
This bachelor thesis investigates the impact of both fixed and proportional transaction costs on portfolio optimization, especially with regards to budget size. We used the mean-variance model introduced in Modern portfolio theory and adjusted it to consider transaction costs and initial budget size. We downloaded data of 10 stocks from Yahoo Finance from January 1st 2014 to December 31st 2023 as a framework for our simulation. We examined transaction costs related to investing through 3 different brokers and we optimized portfolios with transaction costs with 3 different budget sizes for each broker. The results show that transaction costs have impact on both performance and optimization of a portfolio and can lead to a significant change in expected return and expected volatility. Whereas proportional costs affect everyone equally, fixed costs have greater impact on investors with small budgets. Our findings highlight the importance of choosing the optimal investing platform. JEL Classification: G11, G12, G14, G17, G23, G24, D53 Keywords: Portfolio optimization, Transaction costs, Mod- ern portfolio theory, Sharpe ratio, Small investor Title: How do transaction costs influence performance and optimal portfolio selection
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Discount Rate Estimation Practices of Czech Valuation Experts in Minority Shareholder Squeeze-Outs
Bobysud, Jakub ; Novák, Jiří (advisor) ; Čech, František (referee)
This thesis examines the environment of expert appraisals in the Czech Republic and studies the conflict of interests arising from a setting when a valuation expert is contracted to provide valuation for the purpose of a minority shareholder squeeze-out. This underlying conflict of incentives stems from the fact the expert is paid by the majority shareholder and also from possible efforts relationship building (resulting in securing future engagements) from the expert's side with the majority shareholder that would arise from discretionary adjustments to discount rate calculations and decreased squeeze-out price. This opportunistic behavior is deterred by reputational and legal consequences upon discovery of such practices which can be facilitated by institutional barriers such as a requirement for an approval of the squeeze-out by the Czech National Bank. The previous quantitative research into fields of expert appraisals, methodologies used by valuation experts, and minority squeeze-outs is limited in both Czech and international setting. We rely on previous research into litigation and reputational risks and based on its findings introduce checks for structural differences in behavior of expert groups in discount rate estimation practices. We combine data provided by a valuation team of one of...
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The relationships among ESG, FDI and economic growth in CEE countries
Chen, Jingjing ; Janda, Karel (advisor) ; Li, Yating (referee) ; Čech, František (referee)
This research aims to investigate the causal relationships between ESG and economic growth and the link between ESG and foreign direct investment (FDI) in Central and Eastern European (CEE) countries, and compare the results between different income levels and with Organization for Economic Co-operation and Development (OECD) countries. The study uses panel analysis to examine 22 CEE countries and 26 OECD countries from 2007 to 2019. The three dimensions of ESG are measured by carbon emissions (environmental dimension) human development index (social dimension) and world governance indicators (social dimension). The economic growth and foreign direct investment are measured by GDP per capita and foreign direct investment inflows respectively. The findings indicate that carbon emissions and the level of human development are positively correlated with economic growth across both middle and high-income CEE countries. Governance has a negative effect on economic growth only in middle-income CEE countries, and it does not affect high-income CEE countries and OECD countries. Carbon emissions are generally positively associated with economic growth across all CEE countries, emphasizing the need for prudent environmental policies. Additionally, higher human development levels have a positive impact on...
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The correlation between the automotive industry output cycle and the business cycle in the Czech Republic
Yin, Shiqi ; Jeřábek, Petr (advisor) ; Merrino, Serena (referee) ; Čech, František (referee)
This paper aims to investigate the correlation between the output cycle and the business cycle of the Czech Republic's core industry, the automotive industry. The paper begins by analysing the volatility of each variable, and finds that the trends of the automotive industry output cycle and the business cycle align, while the automotive industry output cycle keeps lagging behind the business cycle. Secondly, this paper adopts the VAR model to examine the relationship between the Czech automotive output and its macroeconomic indicators, using the real GDP and the Gross Value added (GVA) to represent the macroeconomic situation. The results show that there is a correlation between Czech automotive industry output and the macroeconomy, but the correlation is asymmetric, which means the automotive industry is more sensitive to macroeconomic shocks but has weaker impact on the macroeconomy. Finally, this paper also measures the correlation between the automotive industry and monetary policy (M2) and finds that the monetary policy shows strong stability and independence, which can affect the progress of the automotive industry, but no reverse effect has been observed.
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Analyzing the Impact of Czech Economic Development on Carbon Emissions: VAR Model Approach
Shi, Xueyan ; Fiřtová, Magdalena (advisor) ; Akdogan, Idil (referee) ; Čech, František (referee)
The Czech Republic has experienced steady and continuous economic growth since acceded to the European Union. However, at the same time, the increasingly frequent global geological disasters are a constant reminder that the Earth's environment seems to be undergoing even more severe damage. Behind industrial development, technological progress and improving people's lives are increasing carbon emissions. The Czech Republic's carbon emissions are among the highest in Central and Eastern European countries, and the substantial carbon emissions bring serious consequences. The Czech Republic has gradually recognised the seriousness of this problem. It has started introducing a series of relevant policies, laws, and regulations to change the economic growth model, hoping to reduce carbon emissions and improve the natural environment. Based on this, this paper studies the impact of economic growth on carbon dioxide. This paper first selects GDP per capita, industrial structure, and foreign trade dependence as the indicators of economic growth. Then it discusses the theoretical basis and influence mechanism of the impact of economic growth indicators on carbon emissions. By collating the relevant data on economic growth and carbon emissions in the Czech Republic from 1990-2019, the relationship between...
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Economic Development and Pension Privatisation: Evidence from Central and Eastern European Countries and Visions for the Future
Zhang, Yunyang ; Jeřábek, Petr (advisor) ; Merrino, Serena (referee) ; Čech, František (referee)
Since the mid-1990s, to boost the macroeconomy, many countries in the Central and Eastern European region have implemented pension privatisation policies. They followed the recommendations of the World Bank and established a multi-pillar pension model, including a mandatory second pillar with the most privatised features. This paper reviews the literature on pension privatisation policy, summarising its history and development in Central and Eastern Europe, and providing a comparative analysis of privatisation reforms in individual countries. The promotion of economic development, as the most important driver of pension privatisation reforms, has not yet received a definitive conclusion. This paper aims to extend existing empirical research on the impact of pension privatisation on economic development by employing a time-varying difference-in-difference model with data from 1996 to 2022 for a sample of 11 EU countries in the Central and Eastern European region. The results of the study show that the pension privatisation policy significantly contributes to economic development and increases domestic savings, and that the contribution to economic development is greater in the long run than in the short run. As a result, the pension privatisation policy should continue to be promoted in the future.
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Evaluation of International Financial Integration on Growth in CEE Countries
Yang, Yang ; Jeřábek, Petr (advisor) ; Li, Yating (referee) ; Čech, František (referee)
The thesis examines the influence of international financial integration on growth in Central and Eastern European economies using a two-way fixed effects model with macroeconomic data for 16 Central and Eastern European countries from 2007 to 2021. The thesis draws several conclusions. First, the ratio of net FDI inflows and outflows to GDP does not present a significant effect on growth. Although the stock data on FDI is similarly not significant for the overall sample regression, the regression of the sample divided into developed and developing economies shows a positive effect of FDI liabilities on economic growth for developed economies and a negative effect of FDI liabilities on economic growth for developing economies. Second, for both the overall sample, developed economies, and developing economies, none of the portfolio investment asset variables are statistically significant, except for portfolio investment assets in developing economies. Third, both portfolio debt and other investment debt negatively affect economic growth in developing economies and the overall sample, while the result is not significant for developed economies.
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