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Theory of behavioral finance
Vopasek, Luboš ; Kuncl, Martin (advisor)
Theory of behavioral finance combines psychology and finance theory. Main goal of thesis is to describe basic psychological factors influencing economic and financial behaviour. Thesis also focuses on so-called financial puzzles which are empirical phenomenons inconsistent with traditional finance theory such as efficient market hypothesis.
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Analysis of calendar effects on the Prague Stock Exchange
Janek, Libor ; Havlíček, David (advisor)
This bachelor thesis is focus on the efficient market theory, the behavioral finance and on the testing of various calendar effects in the capital markets. In the first chapter the efficient market theory is described, followed by the explanation of the behavioral finance in chapter two. In the analytical part, effect of day in week (the Monday effect or week effect), effect day in month and effect month in year (the January effect) are examined on the PX index using data from the Prague Stock Exchange.
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Technical analysis of stocks
Hlísta, Igor ; Stádník, Bohumil (advisor)
The aim of this thesis is to give information about the technical analysis, its essentials and the chosen tools. In the following it describes two main theories which reject the use of the technical analysis for the future predictions of the stocks prices namely the efficient market theory and the random walk theory. It includes an example of the back-test of the business strategy and a practical demonstration of the stocks trading. Thesis is divided into five parts. The first one describes stocks and their trading. The second one analyses the efficient market theory and the random walk theory. In the third part there is a description of the technical analysis itself and its tools. The fourth part shows business strategy back-test and the last part illustrates the practical trading.
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Linear relation in stock time series
Nemčíková, Lucia ; Bašta, Milan (advisor) ; Helman, Karel (referee)
The aim of this Bachelor's Thesis is to verify the hypothesis of absence of linear relations between logarithmic returns in the stock time series, determined from the efficient markets hypothesis and the existence of linear relations between the squares of returns. I used regression analysis and conditional heteroskedasticity ARCH test of linear type, to achieve the results. My own analysis proved that even if there is a linear relation between logarithmic returns, the relation is not significant. On the other hand the linear relation between squares of returns is significant with tendency to be strong, what is a necessary condition for the use of a linear model of volatility.
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Information as a basis for stock trading
Mixánek, Lukáš ; Rosický, Antonín (advisor) ; Matuštík, Ondřej (referee)
The objective of the thesis is to characterize the importance of information and consequently also of knowledge as the bases for active dealing in the stock market. The fundamental terms of information credibility, disinformation and information asymmetry, which have a cardinal effect on behaviour of particular participants of the market, are mentioned in the thesis. The theory of effective markets and the factors due to which it is not able to explain the development and the real state of the contemporary stock markets, are analysed in more detail in the thesis. A considerable part of the thesis is devoted to the analysis and the definition of information need as a basic requirement for making successful investment decisions of an individual, whereas ways to its fulfilment are implied -- including a description and a division of available information sources. The description and the analysis of several dealing strategies which are directly based on usage of various kinds of information are not missing in the thesis. A part of the work is a presentation and an analysis of the results of a research made among real investors.
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Technical analysis in the foreign exchange market
Vařenka, Jiří ; Durčáková, Jaroslava (advisor) ; Mandel, Martin (referee)
The main goal of this bachelor thesis is to characterize technical analysis as a method of foreign exchange rate prediction and its possible ways of use. The first chapter focuses on the foreign exchange market characteristics, the FX market participants and retail trading conditions. The second chapter explains different types of data presentations as well as basic support and resistance approach and brings detailed classification features of indicators, which are commonly used in technical analysis by both dealers and retail traders. The technical analysis is then confronted with the efficient market theory. In the empirical part we test one simple moving average-based trading strategy in 4 modifications.
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The Examination of the Capital Market´s Efficiency and the Selection of Suitable Capital Strategy
SLÁDKOVÁ, Petra
In my diploma I analyzed the USA capital market. I concentrated on 5 representative branches of this market - the biotechnology, the food industry, the car industry, the mining and the finances. 12 companies, which quote their share of stocks in the american capital market, were choosed. I tested the efficiency of this capital market and tried to establish the rate of this market´s efficiency. Later the best strategy was added to the rate of capital market´s efficiency. I counted the average decree, the standard deviation, the variation coefficient, the {$\alpha$} coefficient and {$\beta$} coefficient at the choosed share of stocks. I accomplished the correlative and the runs testing, which were supposed to certify the efficiency of market. The certain anomalies as The Day of the Week Effect, The January Effect and The Size Effect were investigated in more detail. Further I was considering if either the active or the passive strategy should have been used. I concluded that the active strategy is better for investors in times of the financial crisis. I also analyzed P/E ratio at choosed companies. The performated testing shows that the american market of shares is effective, it has the form of low efficiency peak-form efficient markets hypothesis.
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Stock Market in the Czech Republic
Kříž, Jan ; Bartošová, Jitka (advisor) ; Bína, Vladislav (referee)
This work focuses on the Czech stock market. Work is focused on the application of the theory of efficient markets, which is one of the theories explaining the evolution of prices of securities, the stock market in the Czech Republic from 2000 to 2008. Efficient market theory represents a random walk, which is used as a tool to describe the phenomenon where the future price changes are random divergence from past prices. The thesis is divided into several parts. The first part presents an actual stock market in the Czech Republic. Because most of the work deals with the analysis yields the PX stock index was that in the next section in detail described and analyzed. Furthermore, the Czech stock market has been analyzed in terms of structure and trading volume. The next section has described the theory of efficient markets. Was described briefly the history of this theory. Another part of this work can be described as a purely practical. First, the work focuses on the market in the one year time series of returns. In second part were analyzed medium-long term consisting of three year time series of returns. The last analyzed period was long term, consisting of eight-year time series of returns from 2000 to 2008.
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Testing of weak-form efficiency of the exchange market
Havel, Radek ; Veselá, Jitka (advisor) ; Kalivoda, František (referee)
The goal of my thesis is to verify the weak form of the efficiency of the exchange market. The paper results from the presumptions for efficient price movements on the financial markets. They are applied to the time series of exchange rates of five currency pairs. After definitions of testing methodology, the given exchange rates series are analysed with the help of correlation and autocorrelation test, runs test and a test based on technical analysis. The conclusion of the thesis anwers the question if the exchange rates movements are suitable with the efficient market hypothesis.
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Technická analýza devizového kurzu
Martinec, Jan ; Pígl, Jan (advisor) ; Jindrová, Miroslava (referee)
Práce pojednává o teorii, předpokladech a vybraných nástrojích technické analýzy. Zaměřuje se na aplikaci popsaných indikátorů v prostředí Mezinárodního devizového trhu s důrazem na krátkodobé spekulace. Součástí je popis cílového trhu a statistické zkoumání relativních změn kurzů obchodovaných měnových párů. V rámci představení teorie efektivních trhů a jejích důsledků pro technickou analýzu je proveden jednoduchý test slabé formy efektivnosti. Na závěr jsou na totožných datech z Forexu porovnány 4 obchodní systémy založené na technicko-analytických nástrojích.
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