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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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Financial market efficiency
KOPTIŠ, Daniel
This diploma thesis analyses the market efficiency hypothesis of chosen currency pairs EUR/USD, EUR/CZK and USD/CZK. The aim of this study is to describe the price behaviour of chosen financial assets and verify the random walk hypothesis on the foreign exchange market. Model of random walk says there is no relationship between historical and future prices, so price changes are random and cannot be predicted. Random walk hypothesis was tested by chosen statistic tests runs test, test of auto-correlation, variance ratio test and unit root test (Augmented Dickey-Fuller Test). Data were collected through the online trading platform and tested in EViews. Period of testing for daily changes (D1) was chosen from 31.12.2009 to 29.12.2017 and for weekly changes (T1) from 2.1.2005 to 29.12.2017. This thesis proved weak-form efficiency of EUR/USD and USD/CZK for both daily changes and weekly changes in a chosen period. Inefficient behaviour of daily changes of EUR/CZK (D1) was indicated by runs test, test of autocorrelation and variance ratio test. There is a question what the cause of inefficiency is. The most likely explanation is currency intervention of the Czech National Bank which took place from April 2013 to April 2017 in order to achieve the inflation target and prevent deflation. Traders could also achieve profits by speculating on appreciation of Czech Crown below 27,-crowns/euro which is not in harmony with efficient-market hypothesis. Moreover, currency pair EUR/CZK is not liquid as major currency pairs and there are bigger transaction costs because of bid-offer spread. This work can contribute to next research in connection with results of this study. To verify if the cause of inefficient behaviour of daily price changes of EUR/USD are currency interventions of the Czech National Bank, I would suggest testing efficient-market hypothesis exactly at the time of interventions. It would be also suitable to compare results of different methodologies including testing in short-time intervals of price changes.
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Testing the selected methods of a technical analysis on the foreign exchange market
Yastrebova, Anastasia ; Fičura, Milan (advisor) ; Witzany, Jiří (referee)
The subject of the submitted thesis "Testing the selected methods of a technical analysis trough trading on the foreign exchange market" is testing of the chosen indicators of the technical analysis through trading on the foreign exchange market FOREX. The thesis includes theoretical and practical parts. In the first part different investment approaches used on the foreign exchange market are explained. In the second part the author implements those theoretical findings in a real trading on FOREX market and then analyzes profitability of the trading strategies based on the realized trading.
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