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CEE & SEE Markets Macro-Fundamental Analysis
Poštulková, Jitka ; Polyák, Oliver (advisor) ; Cahlík, Tomáš (referee)
The aim of this thesis is to verify and analyse presumed relations between selected macro-fundamentals, namely USD exchange rate, production index, interbank offered rate, inflation, money supply and two exogenous indices ( Standard & Poor's 500 and EURO STOXX 50), and CEE (Austria, Czech Republic, Poland, Hungary) or SEE (Bulgaria, Croatia, Slovenia, Romania) financial markets over the period from December 1995 to December 2015. In order to test the long-run cointegration relationships between studied markets and the set of macroeconomic variables, the Engle-Granger and Johansen tests are applied. The vector error correction model is used to confirm the long-run equilibrium interlinkages and the results show similar trend tendencies between stock indices and some of the macro-fundamentals in Croatia, Czech Republic, Hungary, Poland and Romania. To verify the short-run causal linkages, the Granger causality test is employed. Based on retrieved findings, the efficiency of studied markets with respect to Efficient Market Theory is reviewed. Our findings reveal several pairwise short-run causal impacts between studied macroeconomic indicators and stock indices. The only indicator which does not impact any stock market is the interbank offered rate. Moreover, according to our results, all CEE&SEE stock...
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The Inflation-Output Variability Relationship in the CEE countries: A Bivariate GARCH Model
Kubovič, Jozef ; Čech, František (advisor) ; Červinka, Michal (referee)
This thesis examines the output-variability relationship and causal relationships among the inflation, the output growth and their uncertainties for the Central and Eastern European region during the period of time that covers the economic crisis of 2008. We apply the bivariate GARCH(1,1) model with the constant conditional correlation covariance matrix to obtain conditional variances that proxy the two uncertainties and use Granger causality test to determine the causal effects among four variables. We come up with a number of interesting results. First, we did not find statistical evidence neither for the inflation-output variability relationship nor for the Phillips curve. Second, we uncovered support for the positive causal effect of the inflation on its uncertainty and negative causal effect for the reverse direction. Additionally, we also found some support for the indirect negative causal effect of the inflation on the output growth. These results support the policy of low and stable inflation in the countries. Finally, we showed that crisis has a significant impact on the results, changing the behaviour of conditional variances and causal effects among the variables. Powered by TCPDF (www.tcpdf.org)
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Bitcoin: Pyramid-scheme Wildfire, New Online Payment Medium, or Future Alternative Currency?
Vozak, Hugo ; Dědek, Oldřich (advisor) ; Polák, Petr (referee)
This thesis explores the price determinants of Bitcoin using a macroeconomic model based on the economic equation of exchange presented by Joseph Wang (2014). The thesis provides a concise and structured introduction to Bitcoin and a comprehensive literature review on Bitcoin. The analysis begins with the application of the functions of money to Bitcoin, arguing that while Bitcoin does fulfill the three classical functions of money to a certain extent, its use remains mainly as a speculative instrument. Wang's model is criticized and amended to reflect the realities of empirically analyzing the Bitcoin market. Using the daily number of transactions and Bitcoin days destroyed as proxies for economic activity and inactivity - to measure Bitcoin's velocity on the block chain - vector autoregression modelling is used to determine if there is Granger causality between the price of bitcoin and the two proxies. The results demonstrate that there is a bidirectional Granger-causal relationship between Bitcoin days destroyed and the price of bitcoin and that there is none between the daily number of transactions and the price of bitcoin; proving Wang's two main assumptions. Impulse- response functions are provided to illustrate and discuss this bidirectional relationship. The results are in line with the...
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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Granger's causality in financial time series
Marčiny, Jakub ; Voříšek, Jan (advisor) ; Lachout, Petr (referee)
The bachelor thesis discusses causality in multiple time series. Granger causality, along with its more general counterparts instantaneous causality and multistep causality, are utilized to study the mutual influence of the individual components of a multiple time series. These concepts are investigated within the framework of vector autoregressive models VAR. After the introduction of basic definitions and facts, the construction of VAR model is described including methods for order selection and verification. Subsequently, causal relations within the model are examined. Finally, empirical analysis of real financial market data is performed using tests procedures programmed with computational software Mathematica.
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Interconnections within Food, Biofuel and Fossil Fuel Markets: Cointegration Analysis
Chrz, Štěpán ; Hrubý, Zdeněk (advisor) ; Hildebrandt, Barbora (referee)
This work examines a topic of interconnections within food, biofuel and fossil fuel markets. The first part provides a general description of biofuel types, related policy measures and a development of relevant legal framework in selected regions. Second part describes an analysis of long and short-term causal relationships between commodities. Furthermore, an impact of Energy Policy Act of 2005 on these relationships is examined. The analysis incorporates Johansen cointegration, error correction model, vector autoregression and Granger causality. A number of equilibrium relationships are found across the examined markets suggesting an interconnection of the studied markets. The results of the impact of EPA are inconclusive due to limitations of employed models.
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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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Speculation on oil markets and its impact on commodity's price
Melcher, Ota ; Taušer, Josef (advisor) ; Baláž, Peter (referee) ; Müller, Štěpán (referee)
This study aims to analyse the precrisis period on the oil markets with a primary objective of assessing the role of speculation in the commodity's price development and its volatility. First it depicts the rapidly increasing speculative activity on the futures market together with the parallel oil price surge. The speculation is initially proxied by non-commercial traders' positions and subsequently quantified by Working's T-index. The paper then uses speculative traders' positions and both spot and futures prices to test for Granger causality within the framework of VAR models. For the sake of consistency it also evaluates causal links between speculation and inventories level. Further the study investigates the speculation impact on volatility of oil prices by employing various approaches in volatility quantification including GARCH models. Contrary to expectations we find that the speculatio's impact on both prices and their volatility is rather insignificant. In the last chapter we therefore seek for an explanation of the oil price developments by examining the market fundamentals. The interaction of supply and demand finally gives substantial evidence for understanding the price developments in the precrisis period.
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Econometric analysis of the economy in game World of Warcraft
Buchníčková, Michaela ; Kuchina, Elena (advisor) ; Formánek, Tomáš (referee)
This thesis analyses the impact of real exchange rate and the official exchange ratio of fiat currencies and in-game golds on the price level in the game World of Warcraft. The work also includes a brief summary of the mechanisms of the in-game economy. The analysis is based on cointegration test and Granger causality test. Individual estimations are model based on the VAR and VEC models theory. The conclusions of this study are made for specific randomly selected pairs of servers with different populations. These results are not easily generalized for the entire regions, but they offer insight into the possible factors affecting the price level in each virtual economy. The results show that the price level on the American server Aegwynn affects the exchange rates of fiat and game currencies as well as that game currency exchange rate in the European region is sensitive to changes in exchange rates of the euro and the yuan. All calculations in this work were implemented in Eviews 8 software.
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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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