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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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Capital Market Hypotheses and Their Statistical Implications: A Comparative Study
Petras, Petr ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
In this bachelor thesis we focus on different Market Hypotheses. Specifically on Efficient Market Hypothesis, Fractal Market Hypothesis and Coherent Market Hypothesis. In the first part of the work we provide description of researched hypotheses and methods used for testing. In the second part of the work we run test on time series of share markets, gold markets and currency markets and test if our hypotheses can provide explanation about price changes on those markets. For Efficient Market Hypothesis we wonder if prices are following random walk (via augmented Dickey-Fuller test), if residuals are normally distributed (via Shapiro-Wilk and Jarque-Bera tests) and if residuals are uncorrelated (via Box-Pierce test). For Fractal Market Hypothesis we are trying to find value of Hurst exponent via Rescaled Range analysis. This exponent describes if time series are persistent or not. And for Coherent Market Hypothesis we develop simple method for testing if some time periods can yield above-average revenues, thanks to increased mean and decreased standard deviation. After that we find out what are consequences of short time series and different frequencies for obtaining data points and we learn that some hypotheses describes different time periods or lengths better and are not so good for different ones. Powered...
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The Analysis of the Relative Efficiency of the Czech and Polish Financial Market.
Džmuráňová, Hana ; Rippel, Milan (advisor) ; Todica, Doina (referee)
of bachelor thesis Author: Hana Džmuráňová The topic of this bachelor thesis is the Theory of efficient markets. The thesis is split into two related parts. The first part aims to introduce the Theory of efficient markets and behavioral finance. It focuses on several anomalies and limitations in the Theory of efficient markets that have been found as a result of behavioral finance research. The second part of the thesis is an empirical text dedicated to the relative weak form efficiency analysis of the two Central and Eastern Europe Markets - the Prague and the Warsaw Stock Exchange. Relative efficiency is tested by the random walk properties of market index returns and by the OLS method for autoregressive process for market index returns. It has been found that the Warsaw Stock Exchange is relatively more efficient in the weak form efficiency than the Prague Stock Exchange.
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Fundamental and technical analysis of a particular asset
Nepomnyashchiy, Ilya ; Fičura, Milan (advisor) ; Mazáček, David (referee)
The goal of the thesis is to evaluate the degree of efficiency of the particular markets and to apply the methods of fundamental and technical analysis on them in order to assess their efficiency in terms of profitablity. The thesis analyses the degree of long-term memory of the particular commodities and stock indices via Hurst coefficient. Afterwards fundamental and technical methods are applied to the market with the highest degree of long-term memory, which is the feeder cattle market. Indidivual methods from both disciplines are being applied at first, after wich a combnation of both is appleid as well. The result is the discovery, whether combining the two approaches leads to a higher profitability of the trading strategy. At the end the effect of transacton costs is also evalauted and a final conclusion is made regarding the profit potential of both methods for the case of individual Czech investor.
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Testing the selected methods of a technical analysis on the foreign exchange market
Yastrebova, Anastasia ; Fičura, Milan (advisor) ; Witzany, Jiří (referee)
The subject of the submitted thesis "Testing the selected methods of a technical analysis trough trading on the foreign exchange market" is testing of the chosen indicators of the technical analysis through trading on the foreign exchange market FOREX. The thesis includes theoretical and practical parts. In the first part different investment approaches used on the foreign exchange market are explained. In the second part the author implements those theoretical findings in a real trading on FOREX market and then analyzes profitability of the trading strategies based on the realized trading.
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Stock Analysis
Pleško, Michal ; Pfeiferová, Daniela (advisor) ; Jaroslav, Jaroslav (referee)
The work focuses on describing key methods used by investors for appraising equities. First comes a description of the nature of shares, laws connected to their ownership and their types. This is followed by an explanation of the main analytical approaches to shares; the fundamental, technical and psychological analyzes. The efficient market theory, which is in opposition to the three previously mentioned approaches, is also described. The practical part of this work makes use of theoretical knowledge and applies some of them on a real, existing equity. It is a technology company Apple. In the beginning there is a basic description followed by basic company indicators and a description of the corporations products and services portfolio. Based on the company indicators, the work also compares the company with five other companies competing on the stock market in the same industry.
Lastly, the work compares the development of prices of the company shares with the development of the stock market index NASDAQ.
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Stock Analysis
Král, Petr ; Pfeiferová, Daniela (advisor) ; Kukalová, Gabriela (referee)
The content of the Bachelor thesis named,, Stock analysis "is, as other theses, divided into two parts, which are the theoretical basis and practical part, taking primarily information from the first part and personal experiences with the movements of stock prices.
In the first part the reader learns the basic building blocks, procedures and principles of functioning fundamental analysis as global analysis, industry analysis and company analysis and as graphs, graphical modeling and technical analysis methods.
The second part of the thesis is a subsequent application of theoretical knowledge of technical analysis to predict the progression of stock title known as automotive concern Volkswagen before the scandal Dieselgate when shares of the company had one of the largest declines in history.
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Zhodnocení výkonnosti vybraných finančních nástrojů a akciových indexů
Valášek, Lukáš
Performance evaluation of selected financial tools and stock market indexes. Bachelor thesis. Brno: Mendel University, 2016. The bachelor thesis focuses on mutual comparison of equity mutual funds and exchange traded fund which copy a stock index. The literature review is dedicated to assumptions which are subject to the existence of efficient market behavior, collective investment and assessment criteria. The main aim of this thesis, based on the historical data analysis, is to verify the possibility of outperforming a benchmark by active fund management. Results will be compared with conception Efficient market theory. Criteria will be returns, volatility and transaction costs.
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Investment analysis of ČEZ shares.
Nistorenco, Daniela-Anghelina ; Cibulka, Jakub (advisor) ; Staniek, Dušan (referee)
This bachelor thesis provides the fundamental analysis of ČEZ stocks and aims to create an investment recommendation based on the analysis. There are several types of analysis (fundamental, technical, psychological, the theory of efficient capital markets) which are used for building successful investment strategies. These methods I describe and compare in the first chapter of my work. The remaining part of my thesis is dedicated to fundamental analysis, which I divided into three segments (global, industry, corporate). The global analysis is based on estimating the influence of selected macroeconomic variables on the changes of the stock price. The second part represents industry analysis, which is composed of description of regulation in energy industry and evaluation of economic activities of ČEZ. In the last chapter I use four different stock valuation methods to make an appropriate investment recommendation.
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Testing the theory of efficient markets
Henzlová, Pavla ; Musílek, Petr (advisor) ; Cibulka, Jakub (referee)
This thesis is focused on testing the weak effectiveness of the US, Japanese, German and Czech market in the period 1995 - 2015. The first part contains a theoretical basis for the theory of efficient markets, the conditions, characteristics and models. Further test methods of weak market efficiency are presented and semistrong and strong effectiveness mentioned. The practical part deals with the introduction of tested stock exchange indices and by testing the weak effectiveness of these markets through tests of randomness, variance ratio test and serial correlation.
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