|
|
Vliv sentimentu na institucionální investory
Vašíčková, Veronika
Bachelor thesis is focused on identification of influence of sentiment, including in financial news, on institutional investors and recommendation about using of sen-timent as a stock price determinant. The empirical part of the thesis uses Jensen´s model extended with variable sentiment. For exploration of object are chosen big and small stocks, which are traded in American stock exchange and institutional investors own more than 80 %. Results of influence of sentiment on prices of these stocks are interpreted in the conclusion of the thesis.
|
|
| |
|
|
Obchodovanie investorov a sentiment v odvetví
Jamrichová, Denisa
This bachelor thesis identifies the sentiment on sectors level and also answers the question, how this alternative investment factor affects the stock prices, which belongs to a particular sector. A literature search introduces the main academic theories related to development of stock markets. For analysis of sentiment, in empirical part have been used Jensen's time series model, expanded by variable sentiment for five major US market sectors represented by a specific company traded on US stock exchange. The results of analysis about the potential impact sentiment in the sectors are consistent with the economic theory interpreted in the conclusion of this thesis.
|
|
|
Obchodování institucionálních investorů a sentiment konkurenčních akciových titulů
Hanzlík, Petr
This thesis studies the impact of sentiment included in news about competitors on institutional investors. Investor’s sentiment is determined by level of sentiment in media, pairs of examined subjects were chosen from the same industries. The impact of sentiment is studied in terms of shares’ profitability. Jensen’s model was employed to model the relationship. Performance indicators were used for their comparison. Based on empirical analysis, it was possible to partially confirm the impact of competitor’s sentiment on institutional investors.
|
|
|
Sentiment a akciové trhy rozvíjejících se zemí
Hussein, Kamil
This thesis studies effect of sentiment in Emerging markets. More specifically investigates market sentiment inflowing from developed markets and its impact on emerging markets. There are used developed markets’ implied volatility indices and indices of emerging markets to quantify the relationship between developed market’ sentiment and emerging markets’ economies. The influence of Emerging markets by sentiment deriving from developed markets is analysed by VAR model and Granger causality. The results of this thesis show that the Indian stocks market is influenced by all three developed markets investigated, which are USA, the United Kingdom and Germany. The Russian market is affected by sentiment from the United Kingdom. US’ sentiment produces significant impact on the Mexican stock market. Other analysed markets, which are the Turkish and Brazilian market, are not shown to be significantly influenced by any of the developed countries studied.
|
|
|
The Trump Sentiment: The Effect of News on the US Stock Market
Pinteková, Aneta ; Kukačka, Jiří (advisor) ; Horváth, Roman (referee)
This thesis examines how the American economy is affected by the market sentiment that arises from the news about actions and decisions of the American President Donald Trump. The news articles are obtained from Reuters for the period between the 1st of May and the 30th of November 2018, based on which a sentiment variable is created using natural language processing methods. Firstly, the impact of Trump sentiment on the returns on the S&P 500 Index is examined. The results show a positive and statistically significant impact of sentiment from the previous day on today's S&P 500 Index return. A statisti cally significant effect of the sentiment from a week ago is also found, however, this effect is negative. This result indicates that there is an initial overreaction to the new information, followed by subsequent market correction to the mean. Such result is consistent with the findings of the field of behavioural finance, which incorporates the idea that investor psychology is involved in investment decision making. Secondly, the impact of the news sentiment on the performance of individual sectors of the American economy, as measured by the returns on S&P 500 sector indices, is analysed. A statistically significant effect of sentiment on sector index return is found in the case of Consumer...
|
|
|
Momentum in Stock Returns: Analysis for European Countries
Drmotová, Kristýna ; Kukačka, Jiří (advisor) ; Maršál, Aleš (referee)
This thesis investigates one of the most pervasive anomalies in the behaviour of stock returns, the momentum. We analyse whether there is momentum in European stock returns that would generate profitable investment strategies. First, we compute the average monthly returns on strategies built in accordance with the existing literature. Next, we compare returns on momentum strate- gies between markets with different levels of capitalization and development. Further, we test whether these returns can be explained as the compensation for risk exposures through the Capital Asset Pricing Model. We find that even though the underlying risk has perceptible predictive power for stock re- turns, there still remains a substantial part of abnormal returns unexplained by this model. Therefore, we extend it with additional explanatory variables that might have a predictive power for stock returns according to the Fama & French (1993) three-factor model and Fama & French (2015) five-factor model. We find that stocks that performed best over the short-term past tend to con- tinue to outperform other stocks and stocks that performed worst tend to have one of the lowest returns in subsequent months. We find that strategies based on buying past winners yield statistically significant positive abnormal returns. Furthermore,...
|
|
|
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...
|
|
|
Heterogeneous Agent Model of Housing Market in Ireland
Teichman, Jiří ; Kukačka, Jiří (advisor) ; Jašová, Martina (referee)
This thesis studies the housing market in Ireland within the Heterogeneous Agent Model (HAM) framework. The choice of Ireland for empirical research is motivated by the impact of the recent property bubble on whole Irish economy. At first, the thesis shows general features of HAMs and provides overview of relevant literature. Subsequent survey of behavioral aspects influencing market agents suggests presence of heterogeneity on housing markets. The behavioral evidence for heterogeneity shows why HAMs are good choice for studying those markets. For estimation of the model, we use the Irish data covering the period between 1978 and 2014. Important feature of the HAM used in this thesis is the switching between fundamental and momentum strategies. Because the fundamental value has crucial role in the model, we considered its four approx- imations in our estimations. The estimation results imply that the housing market agents in Ireland are heterogeneous. Interestingly, the nature of strate- gies used by the agents in the estimated model are dependent on the method of fundamental value approximation. Additionally, the agents switch to the strategy which performed better in previous periods. The simulations with estimated models are able to replicate the market fluctuations. Moreover, the simulations show...
|
|
|
Predictability of security returns using Twitter sentiment
Fremunt, Marek ; Baruník, Jozef (advisor) ; Kukačka, Jiří (referee)
This work concentrates on exploring the influence of social networks to financial markets. We have introduced a novel approach to Twitter sentiment analysis, in which we collect continuous stream of data and analyze it. Our original data set contains over 200 million English written Tweets from the period between July 1, 2014 and October 9, 2014. Twitter sentiment is used as a good representative of investors' mood. On hourly data we investigate how investors are influenced by basic emotions, moods and sentiment in their decision making processes as well as the influence of keywords related to specific securities and FOREX symbols. Particularly, we examine the relationships between Twitter-based variables and returns as well as volatility of several financial instruments on a wide range of data including commodities, currencies and S&P 500 Cash Index. We show that Twitter sentiment influences volatility of securities' returns, tested and shown on both conditional and realized volatility models. We also describe the effect of Twitter sentiment on securities' returns. Moreover, we reveal the influence of basic emotions on investors' decision making processes. Our results suggest that investors are influenced by emotions and moods, especially at longer investment horizons. The impact of emotions at shorter...
|
guest ::
