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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Financial market efficiency
 HORKÁ, Petra
The aim of this thesis is to assess the behavior of prices of chosen financial assets and to verify the hypothesis of random walk on the financial market of cryptocurrencies. Testing of the effective market hypothesis was applied to chosen cryptocurrencies Bitcoin, Ethereum, Litecoin compared to the US dollar. The essence of random walk is a non-existent relation between historical and future prices. The model says that price changes are random and cannot be predicted. The random walk analysis was performed using chosen statistical tests, namely the run test, the scattering ratio test, the autocorrelation tests and the unit root test. Data for testing was obtained from the online website for the period from 1 January 2016 to 30 September 2019 and the EViews program was chosen for testing both daily and weekly price changes. In this thesis, based on all statistical tests was shown inefficiency of all chosen cryptocurrencies in the chosen period. Cryptomania, which occurred at the end of 2017 and the subsequent drop in the price of all cryptocurrencies to almost the minimum value at the beginning of 2018, explains ineffective behavior.
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Financial market efficiency
 KOPTIŠ, Daniel
This diploma thesis analyses the market efficiency hypothesis of chosen currency pairs EUR/USD, EUR/CZK and USD/CZK. The aim of this study is to describe the price behaviour of chosen financial assets and verify the random walk hypothesis on the foreign exchange market. Model of random walk says there is no relationship between historical and future prices, so price changes are random and cannot be predicted. Random walk hypothesis was tested by chosen statistic tests runs test, test of auto-correlation, variance ratio test and unit root test (Augmented Dickey-Fuller Test). Data were collected through the online trading platform and tested in EViews. Period of testing for daily changes (D1) was chosen from 31.12.2009 to 29.12.2017 and for weekly changes (T1) from 2.1.2005 to 29.12.2017. This thesis proved weak-form efficiency of EUR/USD and USD/CZK for both daily changes and weekly changes in a chosen period. Inefficient behaviour of daily changes of EUR/CZK (D1) was indicated by runs test, test of autocorrelation and variance ratio test. There is a question what the cause of inefficiency is. The most likely explanation is currency intervention of the Czech National Bank which took place from April 2013 to April 2017 in order to achieve the inflation target and prevent deflation. Traders could also achieve profits by speculating on appreciation of Czech Crown below 27,-crowns/euro which is not in harmony with efficient-market hypothesis. Moreover, currency pair EUR/CZK is not liquid as major currency pairs and there are bigger transaction costs because of bid-offer spread. This work can contribute to next research in connection with results of this study. To verify if the cause of inefficient behaviour of daily price changes of EUR/USD are currency interventions of the Czech National Bank, I would suggest testing efficient-market hypothesis exactly at the time of interventions. It would be also suitable to compare results of different methodologies including testing in short-time intervals of price changes.
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