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Analysis of Financial Time Series During a Crisis
PRŮDEK, Lukáš
In this thesis, we will analyze financial time series during and before the crisis. These series will be analyzed using the Box-Jenkins methodology. The aim is to understand this method and then apply it to the prices of the DAX and PX stock indices. The DAX stock index values were compiled by the Frankfurt Stock Exchange and the PX index values were compiled by the Prague Stock Exchange. I will attempt to build models that can reliably describe the series in question for subsequent forecasting over sub-periods. These models and the predictions made from them will then be used to compare changes in time series behaviour.
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Stock market
Pachlerová, Šárka ; Grosz, Jan (advisor) ; Macháček, Otakar (referee)
This bachelor thesis deals with the stock market in the Czech republic. The first part of this work is focused on the characteristics concepts of the stock market. It is comprised of the definitions of the financial market, stocks, commodities, the stock exchange indexes and others. Introduction to the term Forex and definition of the types of stock exchanges and exchange trades. Introduction to the OTC trading and how the stock exchange work.
In the analytical part there is introduction to the stock exchanges in the Czech republic and the stock exchange indexes. A considerable segment is dedicated to the Prague Stock Exchange and the RM-SYSTEM Czech Stock Exchange. The development of share rates will be observed on the selected companies for the period of 12 months on the stock market.
In conclusion there will be a written assessment of companies and the development of their rates.
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Testing the theory of efficient markets
Henzlová, Pavla ; Musílek, Petr (advisor) ; Cibulka, Jakub (referee)
This thesis is focused on testing the weak effectiveness of the US, Japanese, German and Czech market in the period 1995 - 2015. The first part contains a theoretical basis for the theory of efficient markets, the conditions, characteristics and models. Further test methods of weak market efficiency are presented and semistrong and strong effectiveness mentioned. The practical part deals with the introduction of tested stock exchange indices and by testing the weak effectiveness of these markets through tests of randomness, variance ratio test and serial correlation.
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Vliv makroekonomických faktorů na hodnotu indexu PX
Kohoutek, Jiří
Kohoutek, J. Influence of macroeconomics factors on index PX. Diploma thesis. Brno: Mendel University, 2015. Aim of the thesis is theoretically and empirically explain the influence of macro-economic factors on the value of the index PX . For the analysis are used selected macroeconomic indicators and indexes of other exchanges. The time period of this data is from 2000 to 2013. The design is the least squares method and analysis of time series according to Box- Jenkins methodology . Part of this work is familiar with working on a similar theme other authors. In conclusion, results are evaluated and outlined the possibility of both the value of the index PX predict the future.
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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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An Interrelationship Between Stock Indices
Křepelová, Marika ; Pánková, Václava (advisor) ; Ráčková, Adéla (referee)
This work analyzes an interrelationship between stock indices S&P 500, FTSE 100, DAX, HSI, Nikkei, BSI and PX in a time period from September 2004 till March 2010. Such an interrelationship has already been examined and a dominating position of American indices has been found. This influence was stronger during a financial crisis. Because the examined time period covers both financial crisis and the period before, the work studies their interrelationship in the whole period and at the end in the time period before financial crisis. The influence of one stock index on the other can be cause by several factors: (i) dominance of influencing stock index, (ii) efficient market and (iii) financial crisis. As the reaction of stock index is evoked from new information, the intention of this work is to take into account nonsychronous trading of stocks exchanges. Therefore I explored those exchange stocks closing earlier than the others start in two ways by respecting the time lag and by non-respecting the time lag. The interrelationship between the indices was modeled with help of VAR models and proved by Granger causality test.
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