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Consumer Decision-Making in Conditions of Risk
Cetlová, Tereza ; Svobodová, Kateřina (referee) ; Škapa, Stanislav (advisor)
The aim of the thesis is to afford a complex perspective of a parallel development of psychology and economics to the readers. It is suggested, how psychological experiments could be used for the overall enrichment of the classical theory of economics. In the thesis, readers are introduced to the development of economic theories over time, and also to what role a human takes as a personality. Including the thesis is the part engaging in consumer decision process.
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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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Identifikácia behaviorálnej medzery: evidencia z ETF fondov
Vatrt, Martin
The thesis focuses on the topic of behavioral finance, specifically on the behavioral gap. The theoretical part of the thesis is focused on the comprehensive understanding of behavioral finance with an emphasis on investor behavior, which is a fundamental prerequisite for the size and direction of the behavioral gap. The main objective of the thesis is to identify the behavioral gap in selected exchange traded funds. Secondary, the objective includes identifying the relationship between quantified behavioral gaps at the level of individual funds and the market as a whole. Recommendations for different groups of investors are subsequently formulated based on the results of the empirical part of the thesis.
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Vliv sentimentu na vývoj ceny Bitcoinu
Bohuslav, Tomáš
The bachelor's thesis is about the influence between the price of Bitcoin and market sentiment. This connection is looked at during recurring cycles for Bitcoin, which are started in July 2010. Clarification of the influence of sentiment is also carried out during periods of significant economic events (the period of the covid-19 pandemic and the Russian invasion of Ukraine). The thesis discusses the specifics of the bitcoin market, basic information for understanding its functioning, and the psychology of investors. The relationship between sentiment and Bitcoin price is then tested using correlation analysis. A recommendation for including Bitcoin in the investment portfolio is also formulated. Based on the results of this work a price increase is expected in the medium-term investment horizon.
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Capital Market Anomalies
ALEŠ, Petr
This Master thesis deals with the anomalies in capital markets. Through statistical testing of data from five companies on the US stock exchange NASDAQ seeks to prove or disprove their presence on this market.
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The Impact of Popular Sports Events on the Local Stock Markets
Konvičný, Martin ; Čech, František (advisor) ; Kukačka, Jiří (referee)
The diploma thesis studies the impact of hosting popular sports events and sports results on local stock market indexes and sponsors' stock using ARMA- GARCH and ARMA-DCC-GARCH models between January 2009 and May 2021. The empirical evidence shows that sports results positively affect the returns of emerging stock market indexes in some cases. However, hosting mega sports events has a limited impact on local financial markets. I did not observe any significant loss effect after defeats. According to research results, sports variables do not influence the stock variance. Despite controlling for dependencies related to soccer sentiment, significant interdependencies across Polish and Ukrainian stock market indexes still occurred. That implies other factors are driving the correlation between the stock markets. JEL Classification G41, D53, D81, C58, Z2 Keywords sports sentiment, stock markets, behavioral fi- nance, sports events Title The Impact of Popular Sports Events on the Lo- cal Stock Markets
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The weather and stock returns
Černý, Patrik ; Kukačka, Jiří (advisor) ; Čornanič, Aleš (referee)
This thesis examines a behavioral finance topic, the effect of weather on stock returns. The research was performed with the aim to verify formerly published results of various weather variables like sunshine, precipitation or temperature influencing stock markets. For the analysis Ordinary Least Squares regressions were implemented to investigate the relationships of stock returns and weather variables proposed in the previous literature as well as other market efficiency effects, a Monday and a January effect. In addition, GARCH model was carried out to check the influence of weather conditions on stock return volatility. Data used for the analysis consists of 24 emerging and 23 developed markets worldwide in the period 2006-2017. The results are not in support of the theory of weather affecting market trading which corresponds to the market efficiency theory. There seems to be no difference between the developed and emerging countries, not even countries' land area plays a role. However, in the thesis repeatedly appears significant evidence of the presence of the Monday effect. Keywords Behavioral finance, Weather effect, Market efficiency, Anomaly, GARCH 1
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Heterogeneous Agent Model of Housing Market in Ireland
Teichman, Jiří ; Kukačka, Jiří (advisor) ; Jašová, Martina (referee)
This thesis studies the housing market in Ireland within the Heterogeneous Agent Model (HAM) framework. The choice of Ireland for empirical research is motivated by the impact of the recent property bubble on whole Irish economy. At first, the thesis shows general features of HAMs and provides overview of relevant literature. Subsequent survey of behavioral aspects influencing market agents suggests presence of heterogeneity on housing markets. The behavioral evidence for heterogeneity shows why HAMs are good choice for studying those markets. For estimation of the model, we use the Irish data covering the period between 1978 and 2014. Important feature of the HAM used in this thesis is the switching between fundamental and momentum strategies. Because the fundamental value has crucial role in the model, we considered its four approx- imations in our estimations. The estimation results imply that the housing market agents in Ireland are heterogeneous. Interestingly, the nature of strate- gies used by the agents in the estimated model are dependent on the method of fundamental value approximation. Additionally, the agents switch to the strategy which performed better in previous periods. The simulations with estimated models are able to replicate the market fluctuations. Moreover, the simulations show...
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Predictability of security returns using Twitter sentiment
Fremunt, Marek ; Baruník, Jozef (advisor) ; Kukačka, Jiří (referee)
This work concentrates on exploring the influence of social networks to financial markets. We have introduced a novel approach to Twitter sentiment analysis, in which we collect continuous stream of data and analyze it. Our original data set contains over 200 million English written Tweets from the period between July 1, 2014 and October 9, 2014. Twitter sentiment is used as a good representative of investors' mood. On hourly data we investigate how investors are influenced by basic emotions, moods and sentiment in their decision making processes as well as the influence of keywords related to specific securities and FOREX symbols. Particularly, we examine the relationships between Twitter-based variables and returns as well as volatility of several financial instruments on a wide range of data including commodities, currencies and S&P 500 Cash Index. We show that Twitter sentiment influences volatility of securities' returns, tested and shown on both conditional and realized volatility models. We also describe the effect of Twitter sentiment on securities' returns. Moreover, we reveal the influence of basic emotions on investors' decision making processes. Our results suggest that investors are influenced by emotions and moods, especially at longer investment horizons. The impact of emotions at shorter...
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