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Analysis of stock market anomalies: US cross-sectoral comparison
Jílek, Lukáš ; Krištoufek, Ladislav (advisor) ; Šopov, Boril (referee)
The purpose of this thesis is to analyze anomalies in the US stock market. Special attention is put on Day of the week effect, January effect, and Part of the month effect. We focus on comparison of companies with low and high capitalization. We perform an analysis across 6 major industrial sectors. Then, we discuss the findings with results of past projects and finally, we try to find a speculative investment strategy. We found out that neither Day of the week effect nor January effect do not appear in US stock market nowadays. Part of the month effect was the only anomaly, which was observed in our data. Keywords Stock market anomalies, financial markets, cross-sectoral analysis, Jannuary effect, Day of the week effect, Part of the month effect Author's e-mail jileklukas@gmail.com Supervisor's e-mail kristoufek@gmail.com
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Analysis of stock market anomalies: US cross-sectoral comparison
Jílek, Lukáš ; Krištoufek, Ladislav (advisor) ; Šopov, Boril (referee)
The purpose of this thesis is to analyze anomalies in the US stock market. Special attention is put on Day of the week effect, January effect, and Part of the month effect. We focus on comparison of companies with low and high capitalization. We perform an analysis across 6 major industrial sectors. Then, we discuss the findings with results of past projects and finally, we try to find a speculative investment strategy. We found out that neither Day of the week effect nor January effect do not appear in US stock market nowadays. Part of the month effect was the only anomaly, which was observed in our data. Keywords Stock market anomalies, financial markets, cross-sectoral analysis, Jannuary effect, Day of the week effect, Part of the month effect Author's e-mail jileklukas@gmail.com Supervisor's e-mail kristoufek@gmail.com
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Behaviour of Stocks on the Prague Stock Exchange During the Financial Crisis: Evidence from Empirical Research
Koza, Oldřich ; Teplý, Petr (advisor) ; Krištoufek, Ladislav (referee)
This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient.
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