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Financial market anomalies
ŠAFÁŘOVÁ, Michaela
This bachelor thesis is focused on two types of anomalies which occur on financial markets. The theoretical part mainly focuses on the efficient markets theory, and on the topic of behavioural finance which also include individual theories associated with them. Furthermore, theoretical part analyses different kinds of anomalies, focusing primarily on the Monday and the January effect. Analytical part tests both the January and the Monday effects in selected companies, trading with its shares on the Prague Stock Exchange. The influence of the January and the Monday effect wasn´t proved in this bachelor thesis.
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Determinants of Stocks' Choice in Portfolio Competitions
Šmíd, Martin ; Kuběna, Aleš Antonín
We study investment competitions in which the players invest a virtual amount of money into financial asset and those with highest returns, measured by the actual prices, are rewarded by fixed prizes. We show that the competition, seen as a game, lacks a pure equilibrium and that the ``max-min'' solution of the game lies in the extremal point of the feasible set having maximal probability of victory. We show further that if a mixed equilibrium exists then its atoms lie exactly in the extremal points with a non-zero probability of victory and its weights are close to corresponding probabilities of victory. We analyse empirically a portfolio competition held recently by the Czech portal ``lidovky.cz''; we find that the majority of people do not behave according to the game-theoretic conclusions. Consequently, searching for factors influencing a choice of particular stocks, we find that the participants' choice may be explained by several stock traits to a certain extent. We also show that participants tend to choose negatively diversified portfolios.
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Portfolio competitions and rationality
Kuběna, Aleš Antonín ; Šmíd, Martin
We study investment competitions in which the players with highest achieved returns are rewarded by fixed prizes. We show that, under realistic assumptions, a game the participants play lacks a pure equilibrium and that the ``max-min'' solution of the game lies in one of the extremal points of the feasible set, namely in the one having maximal probability that the portfolio return falls into its normal cone. We analyse empirically a portfolio competition held recently by the Czech portal ``lidovky.cz''; we find that the majority of people do not behave according to the game-theoretic conclusions. Consequently, searching for factors influencing a choice of particular stocks, we find that that the only significant determinant of the choice is a size of the stock's issuer.
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Psychologické a sociologické aspekty investování na akciových trzích
Šedina, Jan ; Klosová, Anna (advisor) ; Resende, José De Lara (referee)
This work is mainly focused on the environment of stock markets. It aims to identify some psychological and sociological factors relating to investors' behaviour which may help to justify occurrence of excessive movements in stock market prices resulting in price "bubbles" and stock market crashes. It emphasizes that the assumptions for the validity of the Efficient Markets Hypothesis based on dominant position of rational investors in stock markets have been empirically undermined by number of experiments and observations. As one of the most vigorous alternative challenging the Efficient Market Hypothesis is now considered the theory of behavioural finance stressing some imperfections of human behaviour which may substantially influence dynamics of stock market prices in both directions.
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Analysis of reactions to extreme movements on forex market in view of behavioural finance
Halva, Jakub ; Havlíček, David (advisor)
This bachelor thesis focuses on underreactions and overreactions on extreme moves on the foreign exchange market (FOREX). Theoretical part focuses on differences between efficient market theory and modern approach of behavioural finances to the analysis of price movements on the financial markets. Analytical part examines two different groups of currencies (developed market currencies and emerging market currencies) in their relation to the newly published information and analyzes reactions on these information on daily and hourly time frames. There is found no evidence of consistent underreactions or overreactions on daily time frame but there are identified statistically significant underreactions on the hourly time frame in the group of developed currencies. The last part of the thesis discusses potential flaws of the methodology used in the thesis which can potentially lead to distortions of the results.
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