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Financial market anomalies
Uherek, Jiří ; Havlíček, David (advisor) ; Janda, Karel (referee)
The bachelor thesis is focused on the most known financial markets anomalies. In the first part the efficient market hypothesis is described as traditional theory of finance. The most known financial markets anomalies are listed and analyzed in the second part of this thesis. In this part is also offered an explanation of these anomalies from the point of view of behavioral finance. The final section analyses particular anomaly -- the weekend effect. The analysis confirmed the occurrence of weekend effect on different markets. The conclusion based on research of several trading strategies is that there is not possible to gain excess return from knowledge of weekend effect. The analysis also confirmed the change of return patterns in last decade.
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Psychologické a sociologické aspekty investování na akciových trzích
Šedina, Jan ; Klosová, Anna (advisor) ; Resende, José De Lara (referee)
This work is mainly focused on the environment of stock markets. It aims to identify some psychological and sociological factors relating to investors' behaviour which may help to justify occurrence of excessive movements in stock market prices resulting in price "bubbles" and stock market crashes. It emphasizes that the assumptions for the validity of the Efficient Markets Hypothesis based on dominant position of rational investors in stock markets have been empirically undermined by number of experiments and observations. As one of the most vigorous alternative challenging the Efficient Market Hypothesis is now considered the theory of behavioural finance stressing some imperfections of human behaviour which may substantially influence dynamics of stock market prices in both directions.
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Behavioral finance - implications for investors
Stupavský, Michal ; Musílek, Petr (advisor) ; Havlíček, David (referee)
Degree thesis deals with behavioral finance with a focus on behavior and psychology of an individual investor. The first part is devoted to the prospect theory that is a descriptive model of behavior of economic agents under the conditions of uncertainty and stands in a stark contrast with the traditional normative expected utility theory. The second part is devoted to the group of behavioral biases that are distortions of human thinking and judgment documented by cognitive psychology. These biases are difficult to eliminate and lead to a biased perception, inaccurate judgments and illogical interpretations. The third and final part is devoted to a questionnaire survey whose goal was to find out whether financial market participants behave according to the axioms of the expected utility theory or whether they systemically deviate from the axioms of this normative theory. The second goal of the survey was to confirm or disprove inferences of academic studies about existence of behavioral biases.
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Speculative bubbles in capital markets
Petr, Jiří ; Veselá, Jitka (advisor)
Bachelor thesis deals with speculative bubbles in capital markets. The goal of this thesis is to analyse causes and processes of bubbles and their influence on a real economy. The problem is processed both theoretically and practically. First chapter are concerned with definition and typology of bubbles. Theoretical part is focused on irrational view on bubbles with an accent on psychology analysis and behavioral finance. Main part of this work is third chapter, where I analyse particular examples of bubbles and determine their causes.
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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 reactions to extreme movements on forex market in view of behavioural finance
Halva, Jakub ; Havlíček, David (advisor)
This bachelor thesis focuses on underreactions and overreactions on extreme moves on the foreign exchange market (FOREX). Theoretical part focuses on differences between efficient market theory and modern approach of behavioural finances to the analysis of price movements on the financial markets. Analytical part examines two different groups of currencies (developed market currencies and emerging market currencies) in their relation to the newly published information and analyzes reactions on these information on daily and hourly time frames. There is found no evidence of consistent underreactions or overreactions on daily time frame but there are identified statistically significant underreactions on the hourly time frame in the group of developed currencies. The last part of the thesis discusses potential flaws of the methodology used in the thesis which can potentially lead to distortions of the results.
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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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Financial market anomalies
Gavrylyuk, Zinayida ; Havlíček, David (advisor)
This bachelor thesis is focused on the analysis of some well-known financial market anomalies. The first part deals with the efficient market theory which is confronted with the basic ideas of behavioral finance. It is followed by the more-detailed description and analysis of three selected anomalies: the December effect, the momentum effect, and the underpricing of IPO. Analytical part tests the occurrence of anomalies on selected equity markets and deals with the possibilities to exploit them. There was not found any statistically significant evidence of influence of the December effect and the momentum effect on stock returns. But there were found significant differences in underpricing of IPO across sectors of the U. S. industry. The thesis provides an overview of the characteristics and occurrence of selected market abnormalities and opens the door to a more detailed analysis.
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The Causes of Formation of the Price Bubbles in the Capital Markets
Šimíček, Petr ; Dočkal, Dalibor (advisor) ; Řežábek, Pavel (referee)
This study analyses, why and how price bubbles are made on the capital markets, how different economical theories see their development and implications, how these theories could predict them and which impact bubbles have on the economy as whole and separated markets. Special accent is given on the paradigm of the behavioral finance, theories flowing from the Austrian school, fundamental analysis and other indirect factors. These problems are (in connection with nowadays world financial crisis) widely discussed among economists. The problem of price bubbles was in focus during 20's, 30's, 70's and 90's. The last part tries to find out a difficult way, how to prevent bubbles and what possibilities are during the attempts to find them. This paper operates with deduction and economical analysis method. Conclusion summarizes the results and tries to outline future development.
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The behavior of stock rates in view of behavioral finance
Havlíček, David ; Musílek, Petr (advisor) ; Veselá, Jitka (referee)
Thesis deals with analysis and interpretation of movements of share rates in the view of behavioral finance. It examines how investor psychology, as one man, and the characteristics of the crowd and their influence on the behavior of the markets. This work represents some of the theoretical concepts of behavioral finance, which are contrary to the postulates of the theory of efficient markets, as well as empirical evidence on market anomalies that serve as the basis of arguments advocates of behavioral finance. The theoretical parts are dismembered some of the main influences acting on the psychology of investors, with a strong emphasis on the scarcity of arbitration, and some selected problems of the theory. In the practical part in the three experiments proven results confirming the interpretation of behavioral finance.
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