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Halloween efekt na kapitálových trzích
Červený, Petr
The bachelor's thesis focuses on a market anomaly known as the Halloween effect. In order to fully understand this effect, the first part of the thesis explains terms related to the researched topic. Subsequently, the existence of the effect is clarified, where the author of the work relies on the theoretical starting points of scientists who have already investigated the effect in earlier years. The main goal of the bachelor's thesis is to identify the effects of the Halloween effect on different capital markets, namely on the stock, commodity and cryptocurrency markets, based on 2 analyses: ratio analysis of individual periods and regression analysis using the OLS method. Using the obtained calculations, an evaluation of the empirical research is subsequently created, which, together with a recommendation for investors in connection with the influence of the market anomaly called the Halloween effect, represents the conclusion of the bachelor's thesis.
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Information published on social networks and their impact on the cryptocurrency market
ŠŤASTNÝ, Petr
The aim of the diploma thesis is to verify the influence of information published on social networks on the profitability of selected cryptocurrencies. The diploma thesis is divided as follows. First, the theoretical part explains the basic issues, introducing the cryptocurrency industry along with an insight into the cryptocurrencies under study. This is followed by the theoretical basis of the research, in which the event study is described along with the theory of efficient markets. The theoretical part is followed by the methodological part. In it, the aim of the diploma thesis is described in more detail, along with the hypotheses under investigation. Furthermore, the methodological procedure of the research, along with the data analysed. The analytical part itself focuses on examining the impact of social media posts, while maintaining the methodological procedure. Next, the chosen hypotheses are tested. This is summarised within the evaluation of the results, along with an assessment of the sub-objective of the thesis.
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Assessment of stock market efficiency and selection of a suitable investment strategy
SCHREIB, Vladimír
The work aims to approach the analysis of the efficiency of the stock markets and to create a suitable investment strategy, the result of which is the maximization of the possible return. The theory of efficient markets is based on the assumption that there are no stocks on the market that would be poorly valued, since all information is available and is immediately reflected in the share price. Based on that assumption, abnormally high profits that would exceed the market average cannot be achieved in the long term. Using statistical tests, the research compares the efficiency and performance of stock markets across stocks and indexes from around the world in the period from 2017 to 2021 and then selects an appropriate investment strategy using a passive, technical and fundamental strategy. The conclusion is that although the markets behave very differently, the overall efficiency could be described as weak. A passive portfolio investment was chosen as a suitable investment strategy.
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Evaluation of stock market efficiency and selection of appropriate investment strategy
MALINOVÁ, Adéla
The subject of the thesis is testing the efficiency of the US stock market, determining its degree of efficiency, and recommending an appropriate investment strategy. The tests were applied to stocks of companies operating in the automotive and information technology industries. Data was obtained from online sources available at The Wall Street Journal and Yahoo Finance. The calculations were performed on a five-year period from 2016-2020. Market efficiency was tested using autocorrelation and run tests, the results of which basically confirmed a weak form of efficiency. However, using the alpha factor, the existence of undervalued and overvalued stocks was discovered, suggesting that the market does not behave entirely in line with the weak form of efficiency. A very good predictive ability of the alpha factor was verified, which could be used in an active investment strategy. In the technical analysis, the usefulness of oscillators and moving averages was tested. Above average investment results were recorded for the PROC and RSI oscillators. However, the success of these indicators was not absolute. It was not possible to determine the specifics of the stocks for which technical analysis indicators led to below-average returns, thus the success of technical analysis methods cannot be predicted in advance. Based on the findings, I recommend a passive investment strategy based on fundamental analysis to risk averse investors.
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Herd Behaviour in Financial Markets: Evidence from the Technology Sector
Máca, Jaroslav ; Kukačka, Jiří (advisor) ; Hronec, Martin (referee)
This thesis provides an evidence of herd behaviour in financial markets with an emphasis on the technology sector. The adjusted closing prices for the NASDAQ-100 index constituents are analysed on a daily basis during the period 2011-2020. Regarding methodology, the commonly utilized measures of cross-sectional standard deviation of returns and of cross-sectional absolute deviation of returns are considered. The examination reveals no evidence of herd behaviour, even when filtering trading sessions based on extraordinary market volatility or trading volume. However, a closer look at 2020, in which financial markets movements were heavily affected by the ongoing COVID-19 pandemic, shows that herd behaviour contributed to the sharp and significant crash as well as to the subsequent skyrocketing recovery. Furthermore, this thesis presents an innovative way of using an external factor in regression models. Due to their dominant position, the so-called technology giants are excluded from the US stock market and they newly constitute the world market. This specification reveals that the dispersions of the technology giants are contagiously amplified to the rest of the technology sector. Therefore, investors should be aware of the risks associated with a possible cooling of the entire technology sector following...
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Modeling of football matches results and efficient-market hypothesis in sports betting
Augustin, Michael ; Korbel, Václav (advisor) ; Opatrný, Matěj (referee)
01 Abstract Betting on sporting events can be perceived by the general public as a game of chance. In the professional literature, however, betting on football matches is treated in the same way as other financial markets, where in the event of a violation of the theory of efficient markets due to the occurrence of inefficiency, there are opportunities for investors to obtain abnormal returns. The main goal of this work is to create a model capable of predicting the results of football matches on the basis of historical data better than bookmakers are able to do and test the effectiveness of the Czech betting market for football matches of the Czech highest football league. The first part of the thesis contains a more detailed presentation of the theory of efficient markets, a comparison of financial and betting markets and sources of possible inefficiency in betting markets. The second and third parts present data, models and their possible modification to increase the accuracy of estimates. The fourth part describes the results of testing individual models and subsequent simulations of betting strategies. The fifth part contains a conclusion and discussion of the results, including an indication of possible alternatives to follow-up research. The results of simulations of betting strategies confirm...
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Vliv sentimentu na institucionální investory
Vašíčková, Veronika
Bachelor thesis is focused on identification of influence of sentiment, including in financial news, on institutional investors and recommendation about using of sen-timent as a stock price determinant. The empirical part of the thesis uses Jensen´s model extended with variable sentiment. For exploration of object are chosen big and small stocks, which are traded in American stock exchange and institutional investors own more than 80 %. Results of influence of sentiment on prices of these stocks are interpreted in the conclusion of the thesis.
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Obchodovanie investorov a sentiment v odvetví
Jamrichová, Denisa
This bachelor thesis identifies the sentiment on sectors level and also answers the question, how this alternative investment factor affects the stock prices, which belongs to a particular sector. A literature search introduces the main academic theories related to development of stock markets. For analysis of sentiment, in empirical part have been used Jensen's time series model, expanded by variable sentiment for five major US market sectors represented by a specific company traded on US stock exchange. The results of analysis about the potential impact sentiment in the sectors are consistent with the economic theory interpreted in the conclusion of this thesis.
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The Effect of M&A on Competitors' Performance in China and the US
Wojnarová, Renáta ; Kukačka, Jiří (advisor) ; Teplý, Petr (referee)
We examine the effect of merger announcements on the stock performance of acquirers' industry rivals in the context of Chinese and US deals between 1994 and 2017. Our analysis reveals that investors of rivals are able to earn abnormal returns during days around merger announcement, meaning that markets are not fully efficient as implied by the Efficient market hypothesis. We conclude that in a reaction to the announcement, US rivals achieve generally negative abnormal returns with higher magnitude and volatility compared to Chinese rivals. Additionally, we observe that Chinese investors' perception of mergers turned out to be more conservative after the Global financial crisis. During days around the merger announcement, signs of rivals' abnormal returns also differ on whether the target is public or private in both countries. Rivals operating in industries that are substantially supported by Chinese government such as real estate, pharmaceuticals, and chemicals experience positive reaction on mergers of their competitors. Furthermore, we find that industries with increasing im- portance in Chinese developing economy such as banking, telecommunications, and cyclical consumer products show a positive reaction of rivals' returns on merger announcements while in the developed US economy, a negative...
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