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Mandatory disclosure
Hrycej, Martin ; Gregor, Martin (advisor) ; Džmuráňová, Hana (referee)
The bachelor thesis firstly introduces the problems of mandatory disclosure and describes different attitudes to it. Following is the essential part of the work containing the definition and specification of the studied models of monopoly and duopoly. These models are further analysed and solved using the game theory tools and microeconomics methods for profit optimization. Subsequently the numerical results are evaluated and presented. The obtained results are suggesting whether voluntary or mandatory disclosure regime is more profitable for whom under different conditions - the models parameters in other words. Finally the discussion of the results, the results' relevance and interpretations in the context of related literature are presented. The particular numerical results are of a reasonable nature and rather fit to the literature context than not.
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Trading Volume and Volatility in the US Stock Markets
Juchelka, Tomáš ; Šopov, Boril (advisor) ; Džmuráňová, Hana (referee)
This thesis investigates the relationship between trading volume and stock re- turn volatility using GARCH model in the framework of Mixture of Distri- bution Hypothesis. Analysis is carried out for five well-known stocks selected from the American S&P500 stock index. Our approach was to extend the vari- ance equation of the well known GARCH model on the trading volume which was split into three explanatory variables capturing different effects of volume on volatility. Apart from the relationship itself, we examined the changes of GARCH and ARCH parameters after the inclusion of volume, implicitly testing the Mixture of Distribution Hypothesis. Interesting results and implications for future research were identified. Firstly, we highlight the appropriateness of the volume decomposition into expected and unexpected volume, where all the vol- ume parameters turned out to be statistically significant. General observation was that the increase of both expected and unexpected trading volume leads to the increase of volatility. On the other hand, negative volume shocks tend to decrease it. Eventhough we performed the analysis with lagged and also contemporaneous volume, we were not able to confirm that the inclusion of volume leads to insignificance of the ARCH and GARCH parameters, thus not confirming the...
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Financial performance of credit unions in the Czech Republic
Kuc, Matěj ; Teplý, Petr (advisor) ; Džmuráňová, Hana (referee)
This thesis is interested in relative performance of highly criticized Czech credit unions. Theoretical part comments on their historical development, makes international comparison and shows possible development of legislation. We created two unique datasets to assess financial performance of Czech credit unions in subsequent empirical part. The first one contains Czech credit unions' and commercial banks' data. The second one is established to make a comparison of Czech credit unions with cooperative banks operating elsewhere in the EU. Both are based on annual data between 2007 and 2012 period. System GMM method is employed as main instrument of our empirical analysis and alternative panel data methods are used as supplementary techniques. We focused our analysis on comparison of relative profitability and stability measures of Czech credit unions. The results revealed their poor performance in the given time period. According to our estimates, they resembled rather small commercial banks than cooperative ones. The negative relationship between Czech credit unions' stability measure (Z-score) and their asset size is especially striking. Moreover, Z- score of Czech credit unions decreased sharply in 2012. Such development was observed neither in case of Czech commercial banks nor in other...
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The fractal dimension and forecasting of financial time series
Kaplan, Robert ; Krištoufek, Ladislav (advisor) ; Džmuráňová, Hana (referee)
In this thesis, we strive to build on the fractal market hypothesis and to develop two methods which aim to reveal whether the fractal dimension, as a property of the short memory, can be applied for forecasting of financial time series. In the first one, we use ten world market indices and repeatedly estimate the fractal dimension by boxcount, Hall-Wood, and Genton estimators on fixed number of returns and make one step ahead forecasts by AR(1) and ARMA(1,1) models; then, we look whether forecast errors from realized returns are lower when the fractal dimension is estimated lower. The second method incorporates only the fractal dimension and studies, if the sign of return persists in next period more likely with lower fractal dimension. The results indicate that the short memory is truly present in the markets and the fractal dimension may be potentially useful for prediction and increased profit for investors. However, the significance of our results is not strong. We recommend more sophisticated methods and models for further research.
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Stress Testing of the Banking Sector
Mohylová, Aneta ; Seidler, Jakub (advisor) ; Džmuráňová, Hana (referee)
This bachelor thesis deals with stress testing of the banking sector as a tool that assesses the resilience of a portfolio, an institution itself or an entire system to adverse macroeconomic development. It aims to provide the reader with general understanding of theoretical aspects of stress testing and its practical application. In the theoretical part, the meaning, purpose and use of stress testing is discussed. Further, stress testing methodology and its limitations are explained and different types of stress tests are mentioned. In the practical part, two hypotheses are tested using vector autoregression model. Firstly, the dependence between loan portfolio quality and selected macroeconomic variables is estimated. Secondly, two types of stress tests are designed in order to test the resilience of the Czech banking sector and individual groups of banks divided according to their size categorization to three adverse scenarios via the most common macroeconomic indicator - capital adequacy ratio. Results suggest high resilience of the Czech banking sector towards adverse macroeconomic development. Powered by TCPDF (www.tcpdf.org)
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Households Indebtedness and Financial Stability: Empirical Analysis from the Czech Republic
Kroupa, Jan ; Seidler, Jakub (advisor) ; Džmuráňová, Hana (referee)
This thesis studies interconnections between macroeconomic environment and non-performing loans ratio (NPL) of banking loans provided to households in the Czech Republic in years 2005-2014. This analysis serves as tool for macroprudential policy to detect potential risks before negative consequences occur. The thesis examines mutual relations between households' non-performing loans ratio and variables capturing macroeconomic environment such as GDP growth, unemployment rate, CPI, interest rate and exchange rate. For purposes of this analysis, vector autoregressive approach and vector error correction model are applied. Based on impulse response analysis, most of expected relations are confirmed. Generally, favorable macroeconomic conditions increase payback capacity of households and reduce share of non-performing loans. According to forecast variance decomposition, increase in unemployment rate is the most serious threat for financial stability of the country from the perspective of non-performing rate increase. JEL Classification C32, C52, E21, G21 Keywords Households, indebtedness, financial stability, non-performing loans, Czech Republic, VAR, VECM Author's e-mail h.kroupa@seznam.cz Supervisor's e-mail seidler@email.cz
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The Impact of Unconventional Monetary Policy of ECB to Central and Eastern European Countries: A Panel VAR Analysis
Hálová, Klára ; Horváth, Roman (advisor) ; Džmuráňová, Hana (referee)
In this thesis we examine the macroeconomic interactions of unconventional monetary policy introduced by European Central bank during crisis by estimating a panel vector autoregression. We study impact of such policies using monthly data from 13 Central and Eastern European countries within seven-year period from 2008 to 2014. We find a positive reactions of output and prices to expansionary unconventional monetary policy shock. Our results provide evidence that decrease in shadow policy rate of ECB leads to rise in output as well as temporary rise in inflation, however, the effect on inflation is weaker and less persistent. We also find that unconventional monetary policy positively influences market uncertainty, but we do not find any significant effect on exchange rates. Individual country estimates suggest that the reaction of exchange rates to non-standard monetary policy shock significantly vary across countries.
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Risk management of savings accounts
Džmuráňová, Hana ; Teplý, Petr (advisor) ; Lebovič, Michal (referee)
This thesis deals with the risk management of savings accounts. Savings accounts are non- maturing liabilities bearing two embedded options. The first option is the client's right to withdraw deposits on notice. The second option is a bank's right to change the deposit rate on savings accounts whenever it wishes. This in practice means that a fierce competition may arise as banks can quickly react to competitor's change in the deposit rate. The embedded characteristics make the risk management of savings accounts challenging. We identify five key risks of savings accounts: liquidity risk, market risk (interest rate risk), systemic risk, reputational risk, and model risk. The thesis focuses on the interest rate risk and the method of replicating portfolios, which is a standard technique of the estimation of non-maturing liabilities' interest rate risk employed by banks. Using replicating portfolio approach, we derive that savings accounts are risky liabilities. We provide evidence that high deposit rates offered on numerous savings accounts in the Czech Republic have not been consistent with low market rates since January 2012, at least. We show that unsustainable deposit rates combined with competition among banks will lead to capital losses in some banks when market rates increase. JEL...
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The Analysis of the Relative Efficiency of the Czech and Polish Financial Market.
Džmuráňová, Hana ; Rippel, Milan (advisor) ; Todica, Doina (referee)
of bachelor thesis Author: Hana Džmuráňová The topic of this bachelor thesis is the Theory of efficient markets. The thesis is split into two related parts. The first part aims to introduce the Theory of efficient markets and behavioral finance. It focuses on several anomalies and limitations in the Theory of efficient markets that have been found as a result of behavioral finance research. The second part of the thesis is an empirical text dedicated to the relative weak form efficiency analysis of the two Central and Eastern Europe Markets - the Prague and the Warsaw Stock Exchange. Relative efficiency is tested by the random walk properties of market index returns and by the OLS method for autoregressive process for market index returns. It has been found that the Warsaw Stock Exchange is relatively more efficient in the weak form efficiency than the Prague Stock Exchange.
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Portfolio diversification on P2P loan markets
Polák, Petr ; Skuhrovec, Jiří (advisor) ; Džmuráňová, Hana (referee)
This thesis presents ways how investors can construct optimal portfolios on on-line peer-to-peer lending platforms. Thesis uses standard portfolio theory and unique dataset from Lending Club platform of over 886 thousand loans issued since 2008 till the end of 2015. Firstly, this thesis shows that there is a non- zero covariance between loans from different credit grades and it is necessary to include it in portfolio management optimization. Secondly, the thesis with the help of a logistic regression identifies loan default determinants. Using the default predictions, the portfolio performance can be improved significantly. Thirdly, the thesis simulates diversification benefits stemming from investing into multiple loans. Powered by TCPDF (www.tcpdf.org)
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