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Vplyv vybraných ukazateľov na vývoj ceny Bitcoinu
Slimák, Rastislav
Slimák R. The impact of selected indicators on the price development of Bitcoin. Diploma thesis.Brno: Mendel University, 2022. This thesis deals with the influence of selected factors on the development of the price of Bitcoin. Thanks to literary research of scientific articles dealing with the price development of Bitcoin, specific variables will be selected, which will be subjected to a regression analysis in the practical part. The main benefit of this work is the study of relationships in specific periods, which are defined by Bitcoin halving. In addition to the regression analysis, the work deals with a graphical analysis of selected relationships, an elementary interpretation of the basic properties of Bitcoin together with a more detailed analysis of the mentioned halving and a separate chapter on the basic methods of asset evaluation. The results of the work are critically evaluated in the discussion and compared with the results of scientific articles. In the end, the work tries to summarize whether and or how investor's view of this non-traditional asset has changed in the monitored periods and thus offer an alternative view of Bitcoin's involvement in the portfolio.
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New Evidence on Abnormal Stock Returns and Abnormal Trading Volume Associated with Inclusions in S&P 500 and FTSE 100
Bartůněk, Jan ; Červinka, Michal (advisor) ; Šíla, Jan (referee)
This thesis analyses abnormal returns and volume around the inclusion of stocks in S&P 500 and FTSE 100 in the 2011-2022 period. The paper contributes to existing research by providing a daily abnormal return analysis for additions to S&P 500 and a thorough study of abnormal returns and trading volume for additions to FTSE 100, a study that has not been recently conducted. For the first time, this thesis provides a comparison of the inclusion effect on the two indices. This thesis reports new results compared to earlier research. The results show that despite the apparent redistribution of stocks one day before the inclusion, there are no abnormal returns on either index on this day. The analysis reports a negative price reaction for additions from S&P 400 and a positive price reaction for additions from outside of S&P 1500. The analysis of FTSE 100 additions shows a negative price effect of the announcement and no daily abnormal return one day after the announcement. Additionally, a different price and volume reaction is observed between the stocks already once added and stocks newly added to the index, as the latter faces a stronger abnormal reaction.
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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Ukazatele fundamentální analýzy pro investiční rozhodování
Obrovský, Jakub
This diploma thesis examines the possibilities of using the PE ratio in the creation of a stock portfolio on the Chinese and American stock market. The result of this work is the finding that low PE shares achieve higher risk-weighted returns over short and long investment horizons than shares with high PE values in both ex-amined markets. However, based on the detected volatility of the shares with the extreme values of PE, it is possible to recommend the use of this indicator for creation of the portfolio only to the most speculative investors.
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Vlivy působící na vývoj akciového indexu S&P500
Svoboda, Petr
This thesis aims to identify the links between economic developments and move-ments in US stock markets. The period from Q1 2001 to Q3 2016 inclusive was chosen for an analysis of the relationship between trends in GDP time series and the S&P 500 index. A correlation analysis was carried out on the time series ex-amined, while the Granger causality test was used to determine the causal rela-tionship between them.
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Zhodnocení výkonnosti akciových indexů rozvinutých trhů s největší tržní kapitalizací v období let 2004-2017
Frýbort, Lukáš
This thesis provides an evaluation of performance of the main stock indices of USA, Japan, Hong Kong and France, which represent the world's largest developed stock markets. The analysis is focused on the period 2004–2017. The theoretical part gives a brief overview of the historical development of selected stock markets, studies the purpose of ETF funds and researches scientific studies related to the main topic. The empirical part of the thesis provides an analysis of S&P 500, Nikkei 225, Hang Seng and CAC 40 in terms of their return, volatility, Sharpe and Sortino ratio in the selected periods and compares the best ETF funds that track selected stock indices. The purpose of the thesis is to provide and investment recommendation for retail investors.
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Implied volatility and higher risk neutral moments: predictive ability
Hanzal, Martin ; Černý, Michal (advisor) ; Málek, Jiří (referee)
Implied volatility obtained from market option prices is widely regarded as an efficient predictor of future realised volatility. Implied volatility can be thought of as market's expectation of future realised volatility. We distinguish between volatility-changing events with respect to expectations - scheduled events (such as information releases) and unscheduled events. We propose a method of testing the information content of option-implied risk-neutral moments prior to volatility-changing events. Using the method introduced by Bakshi, Kapadia & Madan (2003) we extract implied volatility, skewness and kurtosis from S&P 500 options market prices and apply the proposed method in four case studies. Two are concerned with scheduled events - United Kingdom European Union membership referendum, 2016 and United States presidential election, 2016, two are concerned with unscheduled events - flash crash of August 24, 2015 and flash crash of October 15, 2014. Implied volatility indicates a rise in future realised volatility prior to both scheduled events. We find a significant rise in implied kurtosis during the last three days prior to the presidential election of 2016. Prior to unscheduled events, we find no evidence of implied moments indicating a rise in future realised volatility.
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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Impact of monetary policy by the Fed on stock prices in the United States since 60th years of the 20th century
Ciprys, Dušan ; Doležal, Ondřej (advisor) ; Štekláč, Jiří (referee)
This thesis deals with the influence of the federal funds rate for the US stock market, represented by the S&P 500. The work aims to analyse the relationship of monetary policy and stock market of the United States in two planes. The first part explores the interconnection between the federal funds rate, the S&P 500 and inflation between 1960 and 2015 in the context of a long period. There is significant effect of interest rates on stocks and the entire economy. The second part quantifies the immediate reaction of the stock market to changes in the base rate of the Federal Reserve System. An overall analysis shows that the market reacts differently to the increase and decrease in the federal funds target rate. The benefit of this work is to determine the average market reaction to the change in the Federal Funds rate in history and the prediction of its future development.
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