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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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Economic analysis of moon phases on human behaviour
Klečková, Tereza ; Strielkowski, Wadim (advisor) ; Lelovská, Adriána (referee)
The moon and its lunar cycle is a theme that occurs in society since time immemorial. Does lunar cycle affect human life including its economic and social aspects? Do ordinary people and managers of large corporations act differently when the moon is full? Does consumer behavior change? Is at the time of the full moon rising crime and accidents? Can the effect of month on human behavior be scientifically tested? Although the above -mentioned topic may seem a bit bizarre I decided to process it in my thesis. Nowadays is popularization of science very important and widely used by for example the leading economic faculties of leading universities in the USA and the UK. This work attempts to answer the above questions and test the above mentioned context by using econometric methods. In this work we can read about the moon and myths and legends which are bind to it. The thesis presents several studies that have addressed the topic before, and their results. And then it will analyze available data from three basic areas of human behavior - crime, healthcare and business. The results which I reached are interesting and significantly confirm the influence of the lunar cycle in two of three selected aspects of human behavior - health and trade.
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Assessment of Investment Using Technical Analysis on the Stock Markets
HORČIČKOVÁ, Jordanka
An objective of this bachelor thesis is an assessment of investment to stocks using technical analysis on the foreign stock markets. A component of these thesis is comparison of riskiness and profitability of alternative investment products. This objective is divided into two sub objectives. The first of them is evaluate the success of investment using technical analysis based on the profit achieved in dollars. The second sub objective includes evaluating the profitability of investment to the foreign stocks and comparing with alternative investments in Czech Republic based on percental profit and risk. As alternative investments were selected: passive investments to selected stocks, term deposit and investment to a mutual fund.
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Market Microstructure of Stock Exchanges in the Visegrad Region
Fraňo, Filip ; Teplý, Petr (advisor) ; Buzková, Petra (referee)
The aim of this thesis is to compare stock exchanges in the Visegrad region with respect to the market microstructure theory, the field of economics studying the outcome of trading under specific rules. First, commonly used structures of markets are presented and the motivation why economists should be concerned with the design of markets is provided. In the main part of the work, besides the basic attributes of these markets, their market structures and trading systems are compared. Moreover, the price behavior of High Capitalization and Mid Capitalization segments of companies from the Budapest Stock Exchange (BSE), the Prague Stock Exchange (PSE), and the Warsaw Stock Exchange (WSE) is examined. Finally, the method developed by Roll (1984) is implemented to estimate the bid-ask spreads of the largest companies listed on the BSE, the PSE, and the WSE. The results that do not correspond with previous empirical studies probably stem from relatively low liquidity of these markets and unusual price behavior during crisis.
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Parliamentary Elections and the Stock Markets: Evidence from CEE countries
Bláhovec, Tomáš ; Štiková, Radka (advisor) ; Turnovec, František (referee)
The thesis deals with electoral and partisan cycles in stock returns of nine CEE countries and checks consistency of observed cycles with efficient market hypothesis. The evidence mostly supports possibility of political influence on stock markets, but the effects often have opposite sign than hypothesized. Electoral cycle has been found in Estonia and Hungary, while returns in four other countries are significantly lower before elections. Markets more often exhibit left-wing premium, it is significant in the Czech Republic, Lithuania and Romania. The results are similar between nominal and real returns. Both cycles are also considered significant for the panel of countries. Moreover, cycles are hardly explainable by macroeconomic conditions, which indicates market inefficiency. This is confirmed by analysis of volatility, which reveals that risk does not correspond to changes in returns induced by the cycles.
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Analysis of Interdependencies among Central European Stock Markets
Mašková, Jana ; Baruník, Jozef (advisor) ; Princ, Michael (referee)
The objective of the thesis is to examine interdependencies among the stock markets of the Czech Republic, Hungary, Poland and Germany in the period 2008-2010. Two main methods are applied in the analysis. The first method is based on the use of high-frequency data and consists in the computation of realized correlations, which are then modeled using the heterogeneous autoregressive (HAR) model. In addition, we employ realized bipower correlations, which should be robust to the presence of jumps in prices. The second method involves modeling of correlations by means of the Dynamic Conditional Correlation GARCH (DCC-GARCH) model, which is applied to daily data. The results indicate that when high-frequency data are used, the correlations are biased towards zero (the so-called "Epps effect"). We also find quite significant differences between the dynamics of the correlations from the DCC-GARCH models and those of the realized correlations. Finally, we show that accuracy of the forecasts of correlations can be improved by combining results obtained from different models (HAR models for realized correlations, HAR models for realized bipower correlations, DCC-GARCH models).
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The Connection Between Stock Market Volatility and a Position of Economy in a Business Cycle
Poláková, Soňa ; Veselá, Jitka (advisor) ; Krabec, Tomáš (referee) ; Onder, Štěpán (referee)
Finding significant relation between stock markets (including omnipresent volatility) and real economy of the US, Germany, Great Britain and Japan is the main aim of this thessis. If not found it is also the final conclusion. By means of time series analysis using artificial neural networks from the beginning of 2000 till the November of 2014 was proved that the strong single -- way relation between prime stock indices and GDP of chosen economies does exist. Highest quality of prediction was proved on the American and British economy. S&P 500, FTSE and VIX indicator made a precise prediction of future economic progress in the US and Great Britain for six to nine months ahead with 71% to 86% accuracy. The artificial neural networks proved an extraordinary ability to predict chosen financial time series regardless the actual position in a business cycle.
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Determinace vlivu vývoje vybraných akciových indexů na výstup příslušných reálných ekonomik
Lorenz, Milan
The diploma thesis focuses on the relationship between stock market indexes and real gross domestic product (economy output). There is valuated the research question: Are stock market indexes able to predict real gross domestic product development? In this thesis the correlation analysis methods and Granger causality tests are used. The diploma thesis includes literature overview and results of related empirical studies. This empirical study analyses historical data of stock market indixes nad GDP from Czech republic, Germany, Japan, Poland, the United Kingdom, the United States of America, Eurozone and European Union.
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