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Chinese Stock Markets: Underperformance and its Determinants
Kováč, Roman ; Báťa, Karel (advisor) ; Dědek, Oldřich (referee)
Performance of stock markets is determined by three classes of variables: macroeconomic indicators, industry & firm heterogeneity and third country effects. When assessing performance of a stock market index, impact of industry & firm heterogeneity is marginal as it is already embedded in the index through its constituent companies. This paper will therefore focus on the other two. Chinese stock market was selected as an application as their performance compared to other domestic indicators (mainly GDP growth) is considered inferior by many researchers. Using econometric framework for panel data and a Bayesian extension, the paper estimates multiple models of Chinese stock market performance examining individual determinants of it. Subsequently, it predicts development of theoretical prices of two main Chinese stock indices on two time samples until 2013. The paper then demonstrates underperformance of Chinese stock market by comparing the modeled prices to actual prices realized on the market. JEL Classification C23, C51, C53, G15, G17 Keywords underperformance, panel data, fixed effects model, Bayesian Model Averaging Author's e-mail roman_kovac@ymail.com Supervisor's e-mail karel.bata@seznam.cz
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Capital Regulation, Bank Ownership and Bank Risks: Evidence from Central and Eastern Europe, and Asia
Gwee, Tian Jie ; Gregor, Martin (advisor) ; Dědek, Oldřich (referee) ; Bruno, Randolph Luca (referee)
The aim of this thesis is to investigate the association of ownership structure and bank risk-taking as well as the effects of capital regulation. This study employs simultaneous equations, panel data and instrumental variables (IV) models on a sample of 192 banks from Eastern Central Europe and Asia Regions from 2005-2014. An assessment was made on how banks adjust their capital level as well as portfolio risks when there is a minimum capital regulatory ratio. The results indicate that firstly, banks react to the capital regulatory pressure by increasing capital and changes in capital and bank risk changes are positively related. Secondly, it is found that Foreign-owned banks have higher default risks than Domestic-owned banks; however, Government-owned banks are more stable in terms of asset risks measure during the year when there is election. When taking the market forces into account, in listed banks, insider owners and institutional owners have positive impacts on asset risks while positive asset risks on listed Government-owned banks only during the election. Finally, the findings also show that when capital regulation is taken as a moderating variable, it has influenced the impacts of ownership structure and bank risk, however, the increasing effects can only be proven for insider owners...
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Testing Structural Changes Using Ratio Type Statistics
Peštová, Barbora ; Hušková, Marie (advisor) ; Prášková, Zuzana (referee) ; Jarušková, Daniela (referee)
Testing Structural Changes Using Ratio Type Statistics Barbora Peštová Charles University in Prague, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Czech Republic Abstract of the doctoral thesis We deal with sequences of observations that are naturally ordered in time and assume various underlying stochastic models. These models are parametric and some of the parameters are possibly subject to change at some unknown time point. The main goal of this thesis is to test whether such an unknown change has occurred or not. The core of the change point methods presented here is in ratio type statistics based on maxima of cumulative sums. Firstly, an overview of thesis' starting points is given. Then we focus on methods for detecting a gradual change in mean. Consequently, procedures for detection of an abrupt change in mean are generalized by considering a score function. We explore the possibility of applying the bootstrap methods for obtaining critical values, while disturbances of the change point model are considered as weakly dependent. Procedures for detection of changes in parameters of linear regression models are shown as well and a permutation version of the test is derived. Then, a related problem of testing a change in autoregression parameter is studied....
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The Impact of Age Structure on Inflation - Example of Developing Countries
Zakaraia, Khatia ; Ryska, Pavel (advisor) ; Janda, Karel (referee)
Many countries in the world experience demographic transition - significant decrease of fertility rates and increase share of the old population. The pace and characteristics of demographic shifts however are individual for each country. At the same time these countries face low inflation rates or even deflation. In this thesis I demonstrate how demographic changes are correlated with low inflation rates. I estimated two different models - VAR and FEM for panel data using two samples of developing countries. The primary argument of using two separate groups for estimating the same problem is robustness check, whether all three imposed hypotheses will hold in any sample of the population. These hypotheses are - first, deflation is positively correlated with increased share of the old population, second, low inflation in developing economies has structural pattern due to demographic changes and third, deflation can be forecastable if it is driven by demographic trends. Despite the heterogeneity of the results from PVAR and FEM, a negative impact of aging population on inflation has been proved. Also estimation results support our two hypotheses that low inflation if it is partially driven by aging structure changes, has structural rather than cyclical characteristics and is predictable. Contribution...
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Determinants of Crime in Eastern Europe with a Focus on Czechia and Slovakia
Umlaufová, Anna ; Kalabiška, Roman (advisor) ; Schwarz, Jiří (referee)
This study examines whether determinants of crime, hypothesized in the eco- nomic theory of crime and tested in other global regions, also explain crime rates in Eastern Europe, which is often excluded in existing research. Using fixed effects estimation and controlling for social cohesion and law enforcement, the results suggest that increases in income per capita have a negative effect on homicide and violent crime, but the effect on sexual and property crimes is mixed. Furthermore, the significance and sign of the impact of income in- equality and unemployment differ across individual crimes. This study also investigates crime determinants specifically in Czechia and Slovakia. Contrary to the cross-country analysis, there appears to be little connection between aggregate income and the regional distribution of crime, indicating the impor- tance of social rather than economic factors. JEL Classification K42, O15, O52, P20, C23 Keywords Crime, Income distribution, Eastern Europe, Panel Data, Czechia, Slovakia Title Determinants of Crime in Eastern Europe with a Focus on Czechia and Slovakia
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The impact of economic freedom and finance accessibility on new firm formation
Mattanelli, Matyáš ; Mareš, Jan (advisor) ; Novák, Jiří (referee)
This thesis investigates the effects of economic freedom and finance accessibil- ity on new firm formation. The former is proxied by the Index of Economic Freedom and its subindices published by The Heritage Foundation, while the latter is represented by four characteristics of the country's financial system re- trieved from the World Bank's Global Financial Development Database. The dependent variable is proxied by the measure of new business density obtained from the World Bank's Entrepreneurship Survey and database. As a result, the data set employed in this thesis is an unbalanced panel consisting of 136 countries observed between the years 2006 and 2017. Given the inclusion of past realizations of the dependent variable, the models are estimated by the dynamic panel estimator System GMM. The variables found to affect new firm formation positively and with a statistical significance are economic freedom, financial freedom, and rule of law. The last variable captures the degree of pro- tection of property rights and the country's level of corruption. On the other hand, the findings suggest that countries with less stable banking sectors enjoy greater new firm formation rates. No significant relationship has been found between financial access and new firm formation.
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The effect of monetary stimulus on housing prices and the relationship of housing and rental prices in European countries
Hönig, Maximilian ; Kalabiška, Roman (advisor) ; Hlaváček, Michal (referee)
iv Abstract As real estate is an important part of the wealth composition of households, this the impact of the financial stimulus that was observed throughout 2020 and how it might have affected housing prices in various European countries. For this the thesis runs a Vector Error Correction Model with the following independent variables: population, exchange rate, inflation, short-term interest rate, unemployment rate and the compensation of employees. The time frame for this regression is restricted to 2000Q1 to 2019Q4 in order to exclude the housing price development throughout 2020 that is already affected by the financial stimulus. These regression results are then used in combination with the 2020 actuals of all independent variables to approximate the expected housing price without financial stimulus. This gives an indication of a potential overpricing in the markets and provides an understanding of how financial stimulus might be connected to housing prices. Another analysis in this thesis then provides an understanding of the leader-follower relationship of housing prices and rental prices and provides an analysis on how this might be connected to the level of home ownership in a particular market. JEL Classification F62, J11, R30 Keywords Real Estate, Covid-19, Financial Stimulus Title The effect...
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Affordability of own housing across regions of the Czech Republic
Matoušek, Daniel ; Pleticha, Petr (advisor) ; Kalabiška, Roman (referee)
The main objective of the thesis was to investigate disparities in affordabili- ty of own housing across regions of the Czech Republic using three different approaches. Physical availability was monitored by indicators of Number of dwellings per 1000 citizens and Number of dwellings per 100 housekeeping households. Subsequently, the price-to-income ratio was applied to assess fi- nancial affordability for flats and for family houses, separately. The empirical part of the thesis applied first-difference model to uncover the determinants that could explain the disparities in housing affordability. Thus, only those variables that reported sufficient variability across regions were included in the model. As significant determinants of affordability of flats, volume of mortgage loans, number of finished dwellings, the volume of construction works both in the lagged and unlagged version of variable, the unemployment rate and the number of job vacancies were reported. JEL Classification F12, F21, F23, H25, H71, H87 Keywords housing affordability, price-to-income, panel data, regional analysis Title Affordability of own housing across regions of the Czech Republic Author's e-mail 88952997@fsv.cuni.cz Supervisor's e-mail ppleticha@gmail.com
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