|
|
Means and functions of the medialization of financial markets in the last decade
Šimečková, Barbora ; Šoltys, Otakar (advisor) ; Kyjonková, Petra (referee)
Bachelor thesis deals with means and functions of financial markets medialization in the last decade on the print, broadcast and network media material. In the introduction there is a brief outline of the current situation of economic news in the Czech media environment. The first part of the thesis provides economic (financial markets theory) as wel as media (application of semiotics) theoretical bases. The practical part of the thesis analyses the outcomes from financial markets publicized in selected titles of journals (Hospodářské noviny, Mladá fronta E15, MF Dnes and Lidové noviny), news sites on the Internet (iHNed.cz, E15.cz, iDnes.cz and Lidovky.cz) and in Česká televize broadcasting. The analysis uses the knowledge of semiotics - the study of signs and sign systems. The aim of the thesis is to define the means which are used for financial markets medialization depending of the type of media (print, broadcast and network media) and evaluate their functions. Attention is also paid to the diversity of the means in an economically-oriented and general media. The results of the analysis show strong stereotypes of means of financial markets medialization across monitored media, frequent use of symbols, tables, graphs and other graphic elements. The conclusion offers several hypotheses for...
|
|
|
Estimation of VaR in Risk Management by Employing Economic News in GARCH Models
Šindelka, Ondřej ; Baruník, Jozef (advisor) ; Jakubík, Petr (referee)
We examined the influence of news, related to the main central banks, on the conditional volatility of the stock returns of eighteen major European banks. We model their conditional volatility with GARCH, EGARCH and TGARCH models plugging in variables representing news. As a practical application we evaluate whether applying the news into the volatility modeling improves the performance of the Value-at-Risk (VaR) measure for given banks. The two types of news variables we use are constructed from the press releases of main central banks and from the search query at Factiva Dow Jones news database. The information contained in news is proxied by daily news counts. Using the EGARCH setup we are able to model individual volatility reaction functions of the banks' stock returns to different news variables. We show that the content, origin of the news and also the amount of news (news count) matter to the conditional volatility behavior. The results confirm that increase in the amount of media coverage causes increase in volatility. Certain news types have calming effect (speeches of the central banks' representatives) on volatility while others stir it (monetary news). Finally, we conclude that adding the news into the modeling only slightly improves the VaR out-of-sample performance.
|
guest ::
