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Impact of Sports Results on Czech Stock Market
Urban, Michal ; Čech, František (advisor) ; Turnovec, František (referee)
This thesis analyses the impact of sports results on Czech stock market. As sports results we used the matches played by Czech national football and ice hockey teams in main international competitions. As a proxy for Czech stock market we use PX index, the official index of Prague Stock Exchange. In our thesis, we applied ARMA-GARCH-t model to study the impact of results. We found only negative effect after losses of Czech national football team. The effect was statistically significant when we controlled for importance of the matches and was stronger for elimination games. There was no significant effect after wins and draws. We also did not find any significant effect after matches of Czech national ice hockey team.
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Strategies for Spread Trading using Futures Contracts
Gottlieb, Oskar ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
The focus of this thesis are futures spreads, more specifically trading strategies based on two approaches - cointegration tested on inter-commodity spreads and seasonality observed amongst calendar spreads. Commodity pairs which we identify to be cointegrated are tested for four mean reversion strategies, three of them being based on fair value approach, the fourth on the relative value approach. Similarly calendar spreads exhibiting seasonality are optimized for naive buy and hold trading strategies. Both approaches are tested on in-sample and out-of-sample data. Amongst seasonal strategies we have not found a pattern yielding sufficiently profitable signals in both in-sample and out-of-sample periods. Inter-commodity spreads on the other returned profitable strategies on cointegrated spreads which were also similar in physical nature. The exception to that rule were spreads known well in the industry, which failed to deliver positive results in the out-of-sample period.
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The Inflation-Output Variability Relationship in the CEE countries: A Bivariate GARCH Model
Kubovič, Jozef ; Čech, František (advisor) ; Červinka, Michal (referee)
This thesis examines the output-variability relationship and causal relationships among the inflation, the output growth and their uncertainties for the Central and Eastern European region during the period of time that covers the economic crisis of 2008. We apply the bivariate GARCH(1,1) model with the constant conditional correlation covariance matrix to obtain conditional variances that proxy the two uncertainties and use Granger causality test to determine the causal effects among four variables. We come up with a number of interesting results. First, we did not find statistical evidence neither for the inflation-output variability relationship nor for the Phillips curve. Second, we uncovered support for the positive causal effect of the inflation on its uncertainty and negative causal effect for the reverse direction. Additionally, we also found some support for the indirect negative causal effect of the inflation on the output growth. These results support the policy of low and stable inflation in the countries. Finally, we showed that crisis has a significant impact on the results, changing the behaviour of conditional variances and causal effects among the variables. Powered by TCPDF (www.tcpdf.org)
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Government bonds and stock market volatility: A Multivariate GARCH Analysis
Aliakseyeu, Aliaksei ; Horváth, Roman (advisor) ; Čech, František (referee)
The correlation between stock market returns and changes in bond market yields are of big interest among investors because this indicator helps them allocate their assets and diversify investment risk more effectively. An in- vestor should keep track of development of the economies of individual coun- tries, understand the causes of dissimilarities in the correlations among them and take these differences into account for successful international financial investment. The current author contributes to the existing researches by the modeling of stock-bond market co-movements using the updated datasets with focus on Central European countries and differences in public debt levels. The paper contains the empirical analysis of stock and bond market returns condi- tional correlations, modeled by the use of the Asymmetric Generalized Dynamic Conditional Correlation (AG-DCC) Generalized Autoregressive Conditional Het- eroskedasticity (GARCH) specification, for nine Western and Central European countries (the United Kingdom, Germany, France, Spain, Portugal, Italy, Czech Republic, Poland and Hungary) that differ both by their geographic locations and economic development. The main distinctions in the correlations are ob- served during the European sovereign debt crisis. The three types of develop- ment are...
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The effect of introduction of Cloud Computing: The case of Venture Capital
Šomvársky, Jan ; Mejstřík, Michal (advisor) ; Čech, František (referee)
The thesis aims to examine the impact of introduction of Cloud Computing on Venture Capital (VC) financing in the United States. In the first part we review features of Cloud Computing and their impact on startup costs in context of VC. In this thesis we consider Amazon Web Services (AWS), introduced in 2006, a pioneer of widely accessible Cloud Computing. In the second part we quantify the cost reduction associated with utilization of AWS against owning IT infrastructure. Results show 529 fold decrease in startup costs in 3- month time frame. In the third part we analyze the impact of introduction of AWS on seed and later-stage investments in context of selected macroeconomic and technological factors. We perform analysis on a comprehensive dataset from National Venture Capital Association using Autoregressive Distributed Lag (ARDL) model to account for a change in lagged values of dependent and independent variables. Main finding of our analysis suggests that seed investments are significantly influenced by the introduction of AWS and subsequent drop in startup costs. Specifically, the decline in cost of startup induced 29.67% increase in seed investments. Further findings indicate insignificant relationship between seed investments and macroeconomic factors. Moreover, according to our results,...
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Decidability of the theory of commutative groups
Čech, František ; Šaroch, Jan (advisor) ; Žemlička, Jan (referee)
In this thesis will be demonstrated proof of decidability of theory of commu- tative groups. This result was already shown in year 1955 by author W.Szmielew. However proof shown here takes different path. Result will by shown with use of results from theory of modules and theory of modeles prooved in article by M. Ziegler Model theory of modules. Final part of proof follows proof shown in article The elementary theory of Abelian groups by P. C. Eklofa and E. R. Fishera. 1
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The Analysis of the Czech Mobile Market with Focus on Prepaid and Low-Cost Postaid Tariffs
Malířová, Tereza ; Mikolášek, Jakub (advisor) ; Čech, František (referee)
This thesis analyzes the Czech mobile market which has recently undergone significant changes. It focuses on the prepaid plans and low-cost postpaid tariffs and compares offers of all three full-fledged mobile operators which are currently available and the tariffs provided by the mobile virtual operators. The aim is to determine the cheapest option for different levels of consumption. To compare the prices of mobile services provided by the individual operators, the OECD basket methodology was established. The ČTÚ adopted this approach and adjusted it in order to reflect specific patterns of the Czech mobile market. Both of these methodologies were employed. The mobile baskets include a voice and text usage and in addition, some of them take into consideration the growing demand for mobile internet and thus, a certain amount of data is added to these baskets. The results show that the virtual operators are able to compete with the full-fledged operators in providing services even to customers with a relatively high consumption. Furthermore, the thesis seeks to identify possible distortions within the operators' offers, which occur when a customer with a certain consumption is better off choosing a prepaid tariff over the postpaid even though the postpaid tariff is supposed to cover this usage for a lower...
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Analysis of factors influencing export of Czech republic and Germany
Urban, Michal ; Bobková, Božena (advisor) ; Čech, František (referee)
In this thesis, we analyzed the determinants of export in the Czech Republic and Germany. For this purpose, we used panel data from the years 1995-2013. To estimate our model we followed the literature applying Poisson pseudo-maximum likelihood method and the traditional method of ordinary least squares with logarithmic transformation. We have verified basic assumptions of the gravity model that the most important determinants affecting foreign trade between countries are their GDPs and the distance between them. Some institutional variables and membership of countries in the euro area were found to have also the impact on export. We failed to confirm the influence of countries openness and their trade barriers. Powered by TCPDF (www.tcpdf.org)
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Financial Stability Issues and Stress Testing of the Insurance Sector
Hauryliuk, Nadzeya ; Jakubík, Petr (advisor) ; Čech, František (referee)
The purpose of this thesis is to provide an overview of risk and vulnerabilities for financial stability of the European Insurance sector. The methods and principles of risk assessment are examined, as well as their application for the insurance sector. The current macroeconomic situation and its impact on insurers' financial stability is described. Downward changes of interest rates are identified as the biggest current risk. This results from a system-wide stress test conducted by EIOPA (European Insurance and Occupational Pensions Authority), analysis of sensitivities published by several big European Insurers published on a yearly basis and finally from an econometric analysis of the relationship between market data and changes in macroeconomic variables. Keywords financial stability, stress testing, insurance sector, insurance risks
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Efficiency, predictability and liquidity in the commodity futures markets
Čermák, Vojtěch ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
This thesis examines efficiency of several CME commodity futures and its relation to market liquidity over the ten years period. The goal is to find ARMA model that is better than white noise in terms of forecasting power and carry out analysis of market liquidity if we find such model. This is done by comparing selected ARMA models to white noise. In order to do that, we use Diebolt - Mariano test on forecast errors obtained by pseudo out - of - sample analysis using rolling window with re - estimation. Concern of furhter analysis are factors, that can influence the DM statistics. Main findings are, that we are able to find such ARMA model for small enough time period within the ten years period for almost all commodities. For most commodities, this sub period is not long enough to violate efficient market hypothesis. Only for palladium and lean hog futures this period is longer than one year. These two futures shows strong signs of inefficiency, as its predictability is not out - weighted by liquidity restrictions.
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