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Vliv ceny ropy na hodnotu akcií společností těžících ropu
Pavlata, Josef
This diploma thesis is focused on evaluation of impact of oil price changes on share values of oil companies. The main goal was to clarify whether stocks of oil companies with state share react to oil price movements differently than stocks of oil companies without state share. This hypothesis was verified by analysis of time series of oil price (WTI) and share values of seven oil companies (BP, ExxonMobil, Lukoil, PetroChina, Statoil, Petrobras). One-day data from 2002-2016 period were used. Investment recommendation based on econometric methods (correlation analysis, regression analysis, VAR model, Granger causality) and financial methods (volatility, profitability) was drawn up in this study. The hypothesis of state influence was confirmed.
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Bias and Accuracy in Equity Research: The Case of CFA Challenge
Hloušek, Pavel ; Novák, Jiří (advisor) ; Máková, Barbora (referee)
This thesis analyses drivers of optimistic bias in equity research and substance of ability in explaining differences in accuracy among equity analysts. I have shown the existence of a relevant reason for optimistic bias in equity research, which is not related to conflict of interest - the usually referred driver of the bias. Then I have supported the stream of literature showing that analyst's ability is not a strong determinant of analyst's accuracy. A new perspective on the topics is offered by using a sample of equity reports from valuation competition CFA Research Challenge. Contribution of the thesis lies (i) in working with a sample of analysts who do not face the conflicts of interest proposed by the literature to be causing optimistic bias, which offers a unique opportunity to test whether such conflict-of- interest-free analysts issue biased recommendations and in (ii) using success in CFA Challenge as a new proxy for ability of equity analysts. The methods used are an analysis of bias and accuracy of target prices, hit-ratio of investment recommendations, and analysis of returns - estimated by CAPM, Fama French three-factor model and Carhart four-factor model.
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Financial management of company on the capital market
Štíbal, Matěj ; MBA, Libor Stoklásek, (referee) ; Budík, Jan (advisor)
The bachelor thesis deals with the proposal of processes for capital company management on the capital market, focusing on the appreciation of free funds. The free funds are valued using an investment strategy for the stock market, the results of which are interpreted on historical exchange data. A risk analysis and subsequent economic impact on the financial situation of the company is carried out.
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Regulation of Trading in OTC Derivates
Matys, Tadeáš ; Kohajda, Michael (advisor) ; Kotáb, Petr (referee)
This thesis addresses the current, ever-developing framework of rules governing trading in the most widespread financial instrument - OTC derivatives. The main objective of the thesis is to analyse the current state of the regulation of trading in OTC derivatives within the EU - namely, the EMIR Regulation. Subsequently, it examines whether the legal framework has been set up properly and effectively, and explores what steps should be taken in the near future in order to improve it. Given that the subject of this thesis is much more of an economic than a legal nature, its first part introduces OTC derivatives as a concept, and the specifics of trading in them. The second part examines the status of OTC derivatives within the financial market over time, starting from their modern-day beginnings in the 1990s, through their role in the global financial crisis of 2007 and 2008, to the current issues related to them. The main part of the thesis is devoted to the EMIR Regulation, its scope of application, and in particular the three main obligations which EMIR introduces in relation to OTC derivatives. These comprise, firstly, the obligation to perform a central clearing through central counterparties; secondly, the obligation to observe specific risk mitigation techniques for OTC derivative contracts...
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Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets
Malířová, Tereza ; Baruník, Jozef (advisor) ; Komárek, Luboš (referee)
Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets Tereza Malířová Master's Thesis, IES FSV UK, July 2017 We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on realized measures and forecast error variance decomposition invariant to the variable ordering from vector-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to positive and negative shocks. We exploit high-frequency data on the prices of Crude oil, Corn, Cotton and Gold futures, and the S&P 500 Index and use a sample which spans from January 2002 to December 2015 to cover the entire period around the global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other markets account for around one fifth of the volatility forecast error variance. We find that shocks to the stock markets play the most important role as the S&P 500 Index dominates all commodities in terms of general volatility spillover transmission. Our results further suggest that volatility spillovers across the analyzed assets were rather limited before the global financial crisis, which then boosted the connectedness between commodity and stock...
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Impact of bitcoin and blockchain technology on the financial services sector
Halačka, Karel ; Rajl, Jiří (advisor) ; Plíva, Rostislav (referee)
The subject of this bachelor thesis is the impact of bitcoin and blockchain technology on the sector of financial services. The aim of the thesis is to identify the impact and consequences arising from deployment of blockchain in the sectors of banking, insurance and capital markets. At the beginning, the basic concepts associated with bitcoins and blockchain are explained. Followed by the first part which is dedicated to theoretical bases of bitcoin and blockchain. The other sections are already dealing with specific cases of blockchain use in the above-mentioned sectors, while trying to outline the implications that the deployment of this technology are related to. At the very end is a comprehensive SWOT analysis of the blockchain in the context of the financial services sector.
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Reform of the Prospectus Regime
Illmann, Erik ; Kohajda, Michael (advisor) ; Kotáb, Petr (referee)
in English This diploma thesis explores the ongoing reform of the prospectus regime in the European Union. On 30 November 2015, the European Commission presented a proposal for a new regulation, which is to replace the current so-called Prospectus Directive. The primary aim of this thesis is determine the shortcomings of the current prospectus regime and to critically analyze the proposal in order to determine, whether it addresses these shortcomings and whether it improves the prospectus regime in general. The thesis consists of three main parts: the first introduces the prospectus, its characteristics and current regulation in the EU; the second explores and analyses the proposal itself and makes conclusions on the proposed changes; the third and final part explores the topic of prospectus liability and conflict-of-law rules. Based on the conducted research I arrive at the conclusion that the biggest issues of the current prospectus regime are the high costs connect to the preparation of a prospectus, inflexible disclosure requirements for certain types of issuers, ineffective retail investor protection and diverging implementation of the Prospectus Directive across EU member states. While the European Commission's proposal addresses most of these shortcomings and certainly represents an...
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Regulated markets in financial instrumens
Petr, Michal ; Kotáb, Petr (advisor) ; Kohajda, Michael (referee)
66 Abstract Title: Regulated markets in financial instruments Author: Michal Petr Supervisor: JUDr. Petr Kotáb, Ph.D. Regulated markets play important role in market economy since they enable effective allocation of capital and thus enforce the economic growth. First charter of the thesis is devoted to trace history of capital markets in order to illustrate their importance and specific function throughout last centuries. We discuss separately their development and evolution in the Czech Republic and in the rest of the world. In particular, we focus on European legislative framework and its significant changes in last decades as it substantially influences inland law. For this purpose we also consider conclusions of the final report of the committee chaired by Alexandre Lamfalussy which affected the European legislative. In the first part of the chapter we also analyze the institution of regulated markets, as determined by current legislation. In the second part we define investment instruments which are traded on the regulated markets. The second part of the thesis discusses in detail causes of regulation and supervision with particular focus on the Czech Republic. We argue inevitability of the supervision and consider its optimal extent. The next part analysis regulated markets in the spirit of its...
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The Use of Artificial Intelligence on Stock Market
Skočík, Michal ; Pekárek, Jan (referee) ; Budík, Jan (advisor)
Diploma thesis is focused on problematics of artificial neural networks and their usage on capital markets. There is a software created as a part of this diploma thesis which can load input data and create neural network that serves for share price forecast. This program is created in numerical computing environment MATLAB. Created neural network is tested under simulation of business model. Results are discussed upon examination of results of simulation.
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AI techniques in algorhitmic trading
Šmejkal, Oldřich ; Pavlíčková, Jarmila (advisor) ; Berka, Petr (referee)
Diploma thesis is focused on research and description of current state of machine learning field, focusing on methods that can be used for prediction and classification of time series, which could be then applied in the algorithmic trading field. Reading of theoretical section should explain basic principles of financial markets, algorithmic trading and machine learning also to reader, which was previously familiar with the subject only very thoroughly. Main objective of application part is to choose appropriate methods and procedures, which match current state of art techniques in machine learning field. Next step is to apply it to historical price data. Result of application of selected methods is determination of their success at out of sample data that was not used during model calibration. Success of prediction was evaluated by accuracy metric along with Sharpe ratio of basic trading strategy that is based on model predictions. Secondary outcome of this work is to explore possibilities and test usability of technologies used in application part. Specifically is tested and used SciPy environment, that combines Python with packages and tools designed for data analysis, statistics and machine learning.
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