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Model of the stock market and financial crisis
CHAJMOVÁ, Naděžda
The aim was to determine the behavior of time series of selected indices. On these indices, I sought structural changes and breakpoints. Then I found the breaking point by fixed periods of time series and regression using lieární estimate their parameters. By exponential smoothing, I identified the prediction index.
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The Impacts of Financial Crisis on the Stock Exchange Markets
Novák, Pavel ; Veselá, Jitka (advisor) ; Polák, Michal (referee)
The diploma thesis deals with the impacts of financial crises, especially into the U.S. and European stock exchange market and the real economy. Contains the analysis of the Great Depression and the current economic downturn which follows the financial crisis of 2007 - 2008 from the perspective of the New York Stock Exchange index (DJIA) and the FTSE index of London Stock Exchange, as well as from the perspective of macroeconomic variables such as real GDP growth, the rate of unemployment and the industrial production index. The similarities and the specific features of the causes of their formation, the reactions of the monetary and legislative authorities, the impact on the stock exchange markets, regulatory implications and impact on the real economy are mentioned as a result of the detailed comparison of the two crises. The thesis includes prove to the hypothesis of higher volatility on the stock exchange markets during the crises periods on the daily data by calculating the variance and standard deviation.
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Integration of stock markets in 1994 - 2010
Rudolfová, Iva ; Witzany, Jiří (advisor) ; Stádník, Bohumil (referee)
This thesis analyzes the interdependence of stock markets in the Czech Republic, Hungary, Germany and the U.S. between 1994 and 2010. Its aim is to prove or disprove the hypothesis that the correlation of stock markets is growing. Furthermore, it aims to determine whether the benefits of international diversification are important in the 21st century. The first part defines the basic terms related to this issue. The next section describes the historical development of stock markets and major stock indexes. The following is the longest chapter, which deals with the dependence of equity markets. The degree of dependence between markets is measured by correlation coefficients. In order to calculate the correlation coefficients 3 methods were used: 12-month, 24-month moving window and the exponential weighting. It was confirmed that correlation increases in periods of high market volatility and if the equity markets go up. Correlation decreases in periods of low market volatility and if the stock markets go down. There is a long-term increasing trend in the correlation development. The last chapter describes the recent study of P. Christoffersen, V. Errunza, K. Jacobs, and X. Jin, which also deals with this issue. Although the authors used more complex mathematical and statistical methods, their conclusions are similar. At the end of this chapter there is a study dealing with the benefits of international diversification in 2005 and 2009. Its conclusion is that the benefits of international diversification are disappearing.
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Analysis of the collapses of the stock market crash
Ivanová, Jarmila ; Musílek, Petr (advisor)
Bachelor work Analysis of the collapses of stock markets is aimed at dismantling the phenomena when a sudden drop in the stock markets , so called crash or collapse occur. The theoretical part deals with the definition of a stock market collapse and continues with an explanation of the creation and causes of the collapse by means of using the theory of speculative bubbles. Speculative bubble theory focuses on investor psychology and behaviour of investors' public. Clarification of speculative bubbles in this work is described by crowd psychology of Gustav Le Bon and the theory of noisy trading. As a direct contradiction to the existence of speculative bubbles the theory of efficient markets is mentioned here. The subject of the analytical part of the work is to study the stock market for the specific purpose of analyzing the particular collapses of stock markets, their causes, circumstances and consequences.
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Comparation of influence of financial and economical crisis on national stock markets
Voldřich, Karel ; Witzany, Jiří (advisor) ; Witzany, Jiří (referee)
The main objective of this thesis is to define how financial crises influenced different national stock markets, such as Czech Republic, Federal Republic of Germany and People's Republic of China. I compare movements and behaviour of american and national indices and thus I want to declare the influence. I look for parallels and try to find their explanation according to market characteristics. In theoretical part I discuss structure and characteristics of financial and stock market and using this knowledge I look for causes and describe the american financial crises. The image of consequence between chosen countries is at the end completed by statistical analysis. Graphs and pictures needed to illustrate the movement of stock indices are to be found in the thesis.
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Stock Price Bubbles
Li, Xiaokun ; Musílek, Petr (advisor) ; Veselý, Marek (referee)
Economic bubbles are playing an increasingly significant role in the current global economy. We believe these bubbles are to a certain extent dominating the real economy, and, therefore, research based on this specific economic phenomenon is becoming increasingly popular and important. The focus of this master's thesis is based upon analysis of stock price bubbles. This thesis contains author analyzed historical cases representative of stock price bubbles; summarizations of their traditional features; common factors causing their formation; and reasons leading to their bursting. Solutions to the dilemma of stock price bubbles are discussed in depth, and emphasis is placed upon clearly deciphering different theoretical approaches regarding this phenomenon-not only from the efficient market hypothesis viewpoint but also from the perspective of behavioral finance. The research contains testing and measuring methodologies of stock price bubbles, and the author's view concerning them is strongly supported by the results within the empirical data-testing chapter. Upon reading, one can expect to achieve a basic overview of this forefront science.
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Stock market of the Czech Republic under financial crisis conditions
Panušková, Monika ; Taušer, Josef (advisor) ; Svoboda, Vratislav (referee)
This master's thesis deals with stock market of the Czech Republic under financial crisis conditions. It is divided into a theoretical and a practical part. The theoretical part describes a stock price, most significant stock bubbles and fundamental, technical and psychological analysis. The practical part of this thesis is dedicated to an up-to-date stock valuation of three representative stock companies quoted on Prague Stock Exchange by using the fundamental analysis. The technical analysis is applied as an additional approach. The main target of this thesis is to verify whether the current Czech stock market can not be designated as a stock bubble any more in contrast to a situation before the financial crisis.
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International stock markets in conditions of financial crisis
Otýpková, Michaela ; Taušer, Josef (advisor) ; Plchová, Božena (referee)
This diploma thesis deals with trading in the international stock markets in conditions of financial crisis. The theoretical part covers basic definitions associated with stock markets, followed by a chapter dedicated to business cycles, which are significantly related to the stock markets. The first goal of the thesis is numerical comparison of the extensions of the actual financial crisis with the most meaningful financial crisis over last one hundred years. The second aim of the work is to effectuate the technical analysis using selected technical indicators and evaluate its results in chosen periods.
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Causes of economic crash in United States of America at the twenties of 20th century
Viková, Denisa ; Soukup, Jaromír (advisor) ; Tajovský, Ladislav (referee)
These following pages should approximate one of the most important events of last century, the great depression which last almost five years. Firstly, I would focus on causes of the crash on Wall Street stock market and on changes of economic thinking. Thereinafter I would like to elicit if is possible to learn from this event, which have striked almost the whole world, to not repeat this similar tragedy. This text should clear up also why governance, bankers and economists made some fundamental decisions.
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