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Anomalies of financial markets
Máčayová, Miroslava ; Stádník, Bohumil (advisor) ; Vacek, Vladislav (referee)
Theory of efficient markets generally describes financial market as a place with perfect rationality and awareness. According to this theory, the price of each instrument fully reflects all available information, therefore denies the existence of poorly rated stocks. Against this doctrine stands the theory of behavioral finance, which describes, that individuals on financial markets do not always act in rational way, and their behavior is affected with emotions. This psychological phenomenon has the consequence that on the financial market are visible certain anomalies. There are a lot of explanations of these abnormalities. One of the assumptions is that the prices of instruments tend to rise more slowly than fall. This different is in my work explained by the theory of black swan - the existence of unexpected, but the price-setting information. Another psychological theory causing the abnormalities is called the round number effect, which describes that investors consciously or subconsciously tend to perceive the rounded amounts differently than others. Empirical results of my thesis largely demonstrated that the two psychological effects mentioned to some extend contribute to the existence of deviations from normal, and confirm the occurrence of irrationality on financial market.
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Testing the efficiency of capital markets in European economies
Burianec, Dominik ; Pošta, Vít (advisor) ; Gawthorpe, Kateřina (referee)
This master´s thesis deals with testing the efficiency of capital markets. The subject to verification of the stock markets of Austria, Hungary, Germany, Great Britain, Czech Republic and Poland during the 2006-2016Q1. The aim of this work is to test the weak formo f efficiency in these markets. The hypothesis was tested using the ACF test ADF and KPSS tests, variance ratio test, run test and test of January effect.
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