National Repository of Grey Literature 80 records found  previous11 - 20nextend  jump to record: Search took 0.00 seconds. 
The Impact of News on Videogame Stock Market Prices and Volatility
Mertová, Veronika ; Čech, František (advisor) ; Kukačka, Jiří (referee)
The thesis investigates the impact of social media and news headline sentiment on stock prices, specifically comparing gaming firms to companies from other industries. Tweets and news headlines containing keywords referring to four selected gaming and four non-gaming companies were collected over 5 and 3 months, respectively. Both tweets and news collected came from the general users or media rather than focusing solely on financial ones. The data were aggregated into daily values. Daily stock price data were also collected for each examined company to derive returns and volatility. The data were analysed using a vector autoregression model in combination with Granger causality. The study found no significant differences between gaming and non-gaming sectors. The polarity of sentiment showed no effect on stock prices. However, when sentiment was divided into different emotions, some significance was observed, although the findings varied across individual firms regardless of their sectors. It was concluded that when using sentiment for market predictions, it is beneficial to either utilize specifically financial media or determine the specific type of sentiment that influences a particular stock. JEL Classification G14, G17, C32, C58 Keywords Tweets, News Headlines, Gaming Industry, Sentiment...
Short-term Electric Load Forecasting Using Czech Data
Řanda, Martin ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
Forecasting electric load accurately is a critical prerequisite to dependable power grid operation. It is thus in the best interests of the responsible institutions to develop and maintain performant models for predicting load. In this thesis, we analyze Czech electric load data and execute three pseudo-out-of-sample forecasting exercises. We employ standard econometric as well as machine learning methods and compare the results to benchmarks, including the predictions published by the Czech transmission system operator. The results of the first task examining the predictability of minute loads using 11 years of data indicate that the high-frequency load series is predictable. In the second and third exercises, we utilize hourly loads with additional explanatory variables. We generate one-step-ahead and 48-hours-ahead forecasts on the 2021 out- of-sample set and evaluate the performance of several methods. In both exercises, the most accurate results are produced by averaging forecasts of our specified recurrent neural network and the seasonal autoregressive integrated moving average model, achieving a mean absolute percentage error of less than 0.5% on the out-of-sample set in the one-step-ahead analysis and 2.3% in the 48-hours-ahead exercise, outperforming the operator's predictions.
SPACs and IPOs: Consequences on Short-term and Long-term performance
Švancara, Jan ; Kurka, Josef (advisor) ; Čech, František (referee)
This thesis investigates disparities in stock exchange performance with regard to businesses that were unprofitable before becoming public. These firms were divided into two samples; the first sample was made up of firms that entered the market through an Initial Public Offering (IPO), while the second sam- ple was composed of firms that accessed the market through a Special Pur- pose Acquisition Company (SPAC). Buy-and-hold Abnormal Returns (BHARs) and Cumulative Abnormal Returns (CARs) are two types of abnormal returns used to measure stock market performance. The performance was examined throughout four different time horizons, with two of them being considered short-term and the other two being long-term in this thesis. The results indi- cated that unprofitable SPACs significantly underperform unprofitable IPOs in every time horizon examined. Additionally, a model that forecasts whether a firm is more likely to go public through an IPO or a SPAC was developed. The findings implied that highly-priced companies with a greater debt are more likely to be selected by a SPAC. JEL Classification D22, G34, G15, G11, O51 Keywords SPAC, IPO, unprofitable, performance, nega- tive, income, loss, BHAR, CAR Title SPACs and IPOs: Consequences on Short-term and Long-term performance
Cluster-based asset allocation strategies during market stress periods
Zacharová, Beáta ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
This thesis empirically examines the alternatives to traditional asset allocation strategies based on clustering mechanisms. Portfolio selection strategies utilizing hierarchical clustering are compared to the market benchmark and traditional methods: minimum-variance and equally weighted allocation, focusing on market stress periods. The allocation strategies are tested on daily stock prices of the S&P 100 index constituents from 2005 to 2021. The performance of Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk Contribution (HERC) portfolios is evaluated across several market stress periods, including the financial crisis of 2007-2008 and the global coronavirus (COVID-19) pandemic in 2020. Empirical results do not prove the superiority of hierarchical clustering allocation strategies over traditional strategies in risk-adjusted performance. JEL Classification G01, G10, G11 Keywords portfolio selection, hierarchical clustering, HRP, HERC, market stress Title Cluster-based asset allocation strategies during market stress periods
Mass Privatisation and Privatised Firms' Performance in the Post-Privatisation Era: Empirical Evidence from the Czech Republic, Poland, and the Slovak Republic
Wang, Yanyi ; Szobi, Pavel (advisor) ; Akdogan, Idil (referee) ; Čech, František (referee)
This study used panel data on 25 privatised firms from the Czech Republic, Poland, and Slovakia from 2000 to 2019 to explore the impact of different MPS on firm performance in the post-privatisation era. This paper then explored two main research questions: 1) The 2008 financial crisis presented problems for corporations with different governance models. How did firms built utilising various MPS models perform differently across the three countries in this context? 2) What factors would affect the performance of privatised firms in the post-privatisation era? Additionally, this study first used the Wilcoxon signed rank test to analyse six performance variables for the sample firms for eight years before and after 2008. The researcher then chose the corporate governance index (GOV) and shareholder return (ROSF) as the main explanatory variables and did a random effects regression analysis of privatised firm performance. Finally, the paper had two main findings: 1) The financial crisis had a more significant impact on the Czech Republic and Slovakia but had a more negligible influence on Poland. 2) During the post-privatisation era, GOV did not distinctly affect privatised company performance, while ROSF had a more substantial explanatory power for performance based on market development and policy...
The impact of financial development on carbon dioxide emissions: Evidence from CEECs
Liu, Yuanhao ; Szobi, Pavel (advisor) ; Chondrogiannis, Ilias (referee) ; Čech, František (referee)
A sample of 13 CEE countries from 2000 to 2019 is used to investigate the total, direct, and indirect effects of financial development on carbon dioxide emissions. This study introduces four mediating effects of financial development on carbon dioxide emissions, i.e. economic growth, industrial structure, technology innovation, and the combined effect. To assess mediating effects and decompose total effect, GMM-SYS methods and bootstrap are employed. The empirical results entail that the total effect of financial development on CO2 emissions is inverted U-shaped. The mediating effects of economic growth, technology innovation, and the combined effect are enhancing mediating effects, with contributions to the total effect of 7.12%, 1.74%, and 3.29%, respectively. On the contrary, the mediating effect of industrial structure is a suppressing effect, with a 44.42% contribution rate. Therefore, industrial structure turns out to be the primary mediators through which financial development influences CO2 emissions in CEE countries. These findings give additional empirical evidence for the mediational model and Environment Kuznets Curve hypothesis from the perspective of financial development, and also provide new ideas for CEE policy makers to reach carbon neutrality objective by 2050.
The Supply and Demand Shocks in Central and Eastern European Countries During the COVID-19 Pandemic - A Study in the Automotive Industry
Rao, Zhihua ; Semerák, Vilém (advisor) ; Figueira, Filipa (referee) ; Čech, František (referee)
This paper would like to investigate the supply-side and demand-side of the automotive industry in seven Central and Eastern European countries during the COVID-19 pandemic. This paper adopted the vector autoregression (VAR) model to analyse the changes in the variables when experiencing the shock. The results suggest weak influences between the variables. Then, this paper directly compares the trends of each variable over the past five years. We observe strong correlations between related variables to production and sales respectively. We suspect the weak VAR model results might be due to the relatively short pandemic period to the whole time range.
Dynamic Network Risk across main U.S. sectors
Malecha, Jan ; Baruník, Jozef (advisor) ; Čech, František (referee)
We study the effects of financial networks formed by the connectedness of stock return volatilities within sectors of the S&P 500 Index. We test whether the risk arising from dynamic volatility connections is priced in the cross-section of stock returns. Separately, for each sector, we estimate the dynamic network formed by firm-level realized volatilities from 2006 to 2018. We study how connectedness differs across sectors. Comparing the sector results, we conclude that there is a homogeneous pattern that describes the development of volatility connectedness. The pattern holds across all sectors throughout the studied period and is shaped by major financial events. We create risk factors that attempt to assess the risk arising from dynamic volatility connections. For each sector, we create a factor model that we test using the Fama-Macbeth regression. The results provide evidence that the created risk factors are priced in four out of ten sectors, that is, significant results are found in the Energy, Financials, Industrials, and Consumer Discretionary sectors.
Correlation between stock and bond returns and it's determinants: Case of Fragile Five
Daldal, Cagatay ; Kočenda, Evžen (advisor) ; Čech, František (referee)
The correlation between stock market returns and government bond yields is helping investors to diversify their investments and hence, reducing their investment risk if the correlation between these asset classes is low or negative. However, the correlation measure is not solely sufficient for investors to diversify their risk considering that correlation between stock market returns and government bond yields and impacted by the same economic conditions. Therefore, it is important understand how correlation between stock market returns and government bond yields is developing over-time and which economic indicators impacting the correlation. The author contributes to the existing literature by modelling the time-varying correlation between stock marketreturnsand governmentbond yields.The currentresearch focused on Turkey,Brazil,South Africa, India and Indonesia. These countries were defined as Fragile Five in 2013 by Morgan Stanley because the currencies of these countries were under high pressure against United States Dollar and shared common vulnerability in their current account levels, inflation, unemployment rate and gross domestic product. These economic indicatorsof Fragile Five are used to determine if the correlation between stock market returns and government bond yields is impacted by...

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