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Seasonal Effects on Stock Markets in Europe
Rosol, Jaroslav ; Kukačka, Jiří (advisor) ; Čornanič, Aleš (referee)
This thesis researches the problem of stock market efficiency and market anomalies. Specifically, we look on European stock markets and possible presence of four seasonal effects - January, Halloween, Turn-of-the-month and Monday effects. These seasonal anomalies imply that returns for specific period are unusually higher or lower than returns for the rest of the time, which presents a challenge for the Efficient Market Hypothesis. The empirical side of this problem is the possible opportunity for excessive profit from trading on stock markets that could be based on the seasonal anomalies. Firstly, we summarize previous research in the field and attempts of explanation of individual effects. Further, we present the tools needed for our analysis - Ordinary Least Squares regression with dummy variables and few extensions. Data used for the analysis consists of 32 European stock indices. The actual analysis is performed as a comparison of returns on stock for certain specified periods. The evidence on January and Monday effects is found not strong enough to confirm the presence of such anomalies. On the other side, there is enough significant evidence on the presence of Halloween and Turn-of-the-month effects. Moreover, we are unable to explain the Halloween effect as manifestation of January effect. Powered...
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Inherent instability of financial markets
Hladík, Jan ; Buben, Radek (advisor) ; Znoj, Milan (referee)
The main aim of this presented diploma thesis is to help build a systematic understanding of the political and social foundations of global financial markets, their operations and impacts on the global power affairs. The thesis highlights the dynamic complexity of the post financial crisis state of the World with its itra- and inter-social features. It instrumentaly uses critique of a free market agenda and neo-classical economy which contrasts the Efficient Markets Hypothesis with Hyman Minsky's Financial Instability Hypothesis (FIH), taking into account the dynamic complexity of financial markets. This approach offers analytical tools that can account for crisis through processes endogenous to contemporary financial capitalism. I shall argue that a financially complex system is, according to the FIH, inherently flawed and unstable. After a theoretical and historical review, the thesis discusses various aspects of the process of austerity regime and its social consequences. This provides an opportunity for analyses of the ongoing existence of interstate competition, of militarised foreign policy, and of other international, at times violent conflicts. In an effort to make sense of some of these phenomena, I instrumentaly use the study of geoeconomics that builds on some fundamental assumptions...
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Seasonal Effects on Stock Markets in Europe
Rosol, Jaroslav ; Kukačka, Jiří (advisor) ; Čornanič, Aleš (referee)
This thesis researches the problem of stock market efficiency and market anomalies. Specifically, we look on European stock markets and possible presence of four seasonal effects - January, Halloween, Turn-of-the-month and Monday effects. These seasonal anomalies imply that returns for specific period are unusually higher or lower than returns for the rest of the time, which presents a challenge for the Efficient Market Hypothesis. The empirical side of this problem is the possible opportunity for excessive profit from trading on stock markets that could be based on the seasonal anomalies. Firstly, we summarize previous research in the field and attempts of explanation of individual effects. Further, we present the tools needed for our analysis - Ordinary Least Squares regression with dummy variables and few extensions. Data used for the analysis consists of 32 European stock indices. The actual analysis is performed as a comparison of returns on stock for certain specified periods. The evidence on January and Monday effects is found not strong enough to confirm the presence of such anomalies. On the other side, there is enough significant evidence on the presence of Halloween and Turn-of-the-month effects. Moreover, we are unable to explain the Halloween effect as manifestation of January effect. Powered...
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Theory of behavioral finance
Vopasek, Luboš ; Kuncl, Martin (advisor)
Theory of behavioral finance combines psychology and finance theory. Main goal of thesis is to describe basic psychological factors influencing economic and financial behaviour. Thesis also focuses on so-called financial puzzles which are empirical phenomenons inconsistent with traditional finance theory such as efficient market hypothesis.
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Modelování vkusu na finančních trzích
Vácha, Lukáš ; Vošvrda, Miloslav
Heterogeneous agents model with the stochastic forecasts formation is considered. Fundamentalists rely on their model employing fundamental information basis to forecast the next price period. Chartists determine whether current conditions call for the acquisition of fundamental information in a forward looking manner rather than relying on the past performance. This paper shows an influence of the mood change on the financial market structure. This feature is simulated by changing of the forecast structure trend.
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Heterogeneous agent models
Vošvrda, Miloslav ; Vácha, Lukáš
The Efficient Markets Hypothesis provides a theoretical basis for trading rules. Fundamentalists rely on their model employing fundamental information basis to forecasting of the next price period. The traders determine whether current conditions call for the acquisition of fundamental information in a forward looking manners, rather than relying on past performance.
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Heterogeneous agent model with memory and asset price behaviour
Vošvrda, Miloslav ; Vácha, Lukáš
The Efficient Markets Hypothesis provides a theoretical basis on which technical trading rules are rejected as a viable trading strategy. Technical trading rules, providing a signal of when to buy or sell asset based on such price patterns to the user, should not be useful for generating excess returns. Technical traders and chartists tend to put little faith in strict efficient markets.
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