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Hedge Funds and Their Impact on Financial Markets
Jeřábek, Tomáš ; Musílek, Petr (advisor) ; Daňhel, Jaroslav (referee) ; Čihák, Petr (referee)
The aim of this PhD thesis is to analyze the history and current situation of hedge funds and assess their potential to destabilize financial markets. The findings of the analysis are used to validate the assumptions underlying the major regulatory changes of hedge funds in the key global economic centres after the financial crisis in 2008 and 2009. Since their inception early last century hedge funds have gone through a period of great expansion in the sixties, followed by a decline due to large losses sustained in the early seventies. The nineties meant a real breakthrough for hedge funds as a result of which they became prominent players in the alternative investment space. As of today, there is over ten thousand hedge funds that globally manage close to 3 trillion US dollars. Compared to mutual funds and other financial institutions the volume of assets under management is still relatively small, the rate of growth over the past fifteen years has however been very significant. What is emphasized with respect to the impact of hedge funds on financial markets is the contribution to increasing the liquidity and efficiency and their role on the financial derivatives market where hedge funds are actively involved in the transfer of risk. They are at the same time subject of criticism for their purported destabilizing effect on financial markets and contribution to fluctuations in the prices of investment instruments. Although the share of hedge funds in triggering major financial crises has not been conclusively established, these investment entities were one of the targets of the wide-ranging regulatory changes following the financial crisis of 2008 and 2009. The dissertation first discusses the history and current situation of hedge funds and defines the term hedge fund. The following section describes the basic characteristics and principles of their functioning and reviews the regulation in the major domiciles. The final chapter is focused on the empirical analysis of the impact of hedge funds on financial markets. The inputs for this analysis include a global hedge fund index and representative market indices and data from the CFTC on positions in the 10 year US government treasury note futures. In the first step the descriptive statistics for the transformed time series are presented. The second part of the analysis focuses on lagged correlations between returns and volatility of the global hedge fund index and representative market indices. Granger causality tests are applied in the following section to determine the relationships between the returns and volatility of hedge fund and representative market indices. In the final step of the analysis Granger causality tests are used to analyze the link between the changes in positions in the 10-year US treasury note futures held by hedge funds and the change in settlement prices of these futures with the aim to assess whether hedge funds have the capacity to move the market. In conclusion, the results of this analysis are discussed in light of the recent regulatory changes and the potential for the future growth of hedge funds is assessed.
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The Changes in the approach to financial market regulation after the crisis with the impacts on the Czech banking sector
Bohuslavová, Petra ; Pavlík, Zdeněk (advisor) ; Čajka, Radek (referee)
After the outbreak of the financial crisis the question of a deficient financial market regulation came to the forefront from the point of view of might causes. The aim of this thesis is to evaluate the changes in the attitude towards creating the regulation measures and to analyze the impacts of the new set of reform Basel III on the Czech banking sector. The first chapter describes regulation and supervision of the financial markets and the attitudes towards creating the new regulation measures. The second chapter concentrates on the set of reform Basel III and its time implementation. The preformed analysis of the Czech banking sector indicates its preparedness for the Basel III implementation and the direct effects which are in connection with accepting this document possible. Further, there are also examined secondary effects caused by the Czech banking sector ownership structure.
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Koncept bankopojištění v Evropské unii
Stehlíková, Veronika
The diploma thesis focuses on the analysis of the whole concept of bancassurance and the position of the Czech Republic in the area of bancassurance in the European Union. The first part describes an overwiew of theoretical information on bancassurance, the motives of entry into bancassurance and forms of cooperation.The next part deals with the regulation and supervision in the Czech Republic and the European Union. Furthermore based on cluster analysis the thesis evaluates the position of the Czech Republic in the area of bancassurance and compares it with other countries in the European Union. In conclusion the diploma thesis offers recommendations for banks and insurance companies to increase bancassurance in the Czech Republic.
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Regulation of capital market focusing the securities market
KREJČÍ, Lucie
The thesis "The regulation of capital market regulation, with a focus securities market "deals with the regulation and supervision of the capital market and securities market in particular. The first part is devoted to explaining the concepts of regulation and supervision, classification system of regulation and supervision, securities regulation and the reasons for the stock market. primary goal of this work is to compare the regulatory system securities market in the Czech Republic and the EU to propose any recommendations for the country. further analyzes the situation in the EU and more attention is focused on the regulation system in the UK and Germany.
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Importance of bank stress tests in response to financial crisis
Honcová, Eliška ; Blahová, Naděžda (advisor) ; Brada, Jaroslav (referee)
This thesis deals primarily with issues of stress testing the banking sector in response to the current financial crisis. The first chapter briefly describes the basic causes of the financial crisis and its impact on the banking sector and the subsequent expansion into the European Union. A brief description of selected accepted European regulatory and supervisory reforms is followed. Their content is related to the stress tests. The second chapter describes in detail both the original and current stress testing methodology and shows the development in testing, which passed just after the outbreak of financial crisis. The additional tests of banks and the subsequent verification of test results are an integral part of the chapter. A key part of this work is to analyze the stress tests in Europe and then in CR for the year 2011. Test scenarios and specific test results are described here. In conclusion, the work tries to evaluate the adjustment of the Czech stress tests and their explanatory value compared to the European tests.
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Banking regulation in the Czech Republic and Great Britain
Ruššinová, Miroslava ; Křížek, Tomáš (advisor)
This bachelor thesis deals with bank regulation and supervision, which is enacting in the financial markets in the Czech Republic and Great Britain at this time. The work consists of three parts. In the first part of my theoretical work I specify basic definitions of this subject, arguments for regulation, forms of institutional arrangements and look at current trends in regulation in Europe. The second part focuses on comparing the regulation and supervision in the Czech Republic and Great Britain, and defines their specific differences. The final part is devoted to analyzing the new regulatory framework in Great Britain.
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The institutional structure of regulation and supervision of financial markets
Prekopová, Dominika ; Blahová, Naděžda (advisor)
Bachelor thesis focuses on the institutional organization of the regulation and supervision in the Czech Republic and European Union level and progressive integration of regulation and supervision within the frame of European Union. The first two theoretical sections are devoted to defining the basic concepts, general supervision and integration, and comcer with the arguments for and against integration. The third section discusses in detail the development and integration process of regulation and supervision in the Czech Republic. The fourth section is devoted to a comprehensive new framework of supervision at European level, with a stronger focus on four new monitoring institutions.
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Comparison of the U.S. banking system and the Czech Republic
Justová, Sandra ; Půlpánová, Stanislava (advisor)
This thesis describes the banking system in the United States and the Czech Republic. The first chapter portrays the historical development of banking in these countries and the overwhelming attention paid to the emergence of central banking of the country. The next two chapters, introduces the work of the current U.S. banking and the Czech Republic, where it focuses specifically on central banking, commerce and the regulation and supervision of banks. At the end are set sighted differences between banking systems and overall assessment.
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Analysis of the development of competencies of the Czech National Bank since 1993 including an analysis of the consequences of the Czech Republic's entry into the eurozone at competencies of the Czech National Bank
Krejčová, Jana ; Zeman, Karel (advisor) ; Řežábek, Pavel (referee)
That theme is very topical because of intense debate about the real possibilities of the Czech Republic's entry into the eurozone. The introduction of the euro in the CR could significantly affect the position of the Czech National Bank, particularly in terms of transfer of competences in the field of monetary policy to the European Central Bank. The theoretical part covers the general theory of central banking. The scope, functions, objectives and instruments of the central bank are characterized in this part. The analytical part is focused on the development of competencies of the CNB from 1993 to the present and on the comparison of main functions, goals and tools between the CNB and the ECB. The European System of Central Banks and the role of CNB in the system before the adoption of the euro are also defined in this part. The main accent is put on changes in the competences and activities of the CNB's monetary policy, regulation and supervision and monetary circulation after joining the eurozone. The aim of this thesis is to analyze the development of competencies of the CNB from the date of its establishment to the present and the consequences of the CR's entry into the eurozone at competencies of the CNB in relation to the ECB.
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