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Valuation of Companies in the Technological industry of Emerging Markets
Palovič, Peter ; Polák, Petr (advisor) ; Čech, František (referee)
This thesis aims to examine the relationship between various asset pricing fac- tors and the returns of IT stocks in the CEE region. Specifically, it investigates the significance of traditional CAPM beta, MMR (Micro Minus Rest), and ITMR (IT Minus Rest) as potential risk factors in explaining the variations in IT stocks' returns. To achieve this objective, we employed Fama-MacBeth two- stage regression analysis over a dataset comprising monthly returns of 50 CEE IT companies from February 2011 to June 2023. The results of our analysis re- veal that there is no statistically significant relationship between the proposed factors and the returns of IT stocks. Thus, there is no evidence that these factors possess explanatory power in the cross-sections of IT stocks' returns in the CEE region. To ensure the robustness of our findings, we applied both univariate and multivariate asset pricing models. Overall, our study does not support the notion that the investigated factors are significant risk factors for the IT sector in the CEE region, as they fail to predict the variations in IT stocks' returns. JEL Classification G12, G14, G15 Keywords Size premium, Emerging markets, CAPM, Fama-MacBeth regression, Asset pricing Title Valuation of Companies in the Technological in- dustry of Emerging Markets
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Research of the degree of internationalization and performance of emerging market enterprises - A case study of Polish enterprises
Li, Jiaqi ; Svoboda, Karel (advisor) ; Ramesh, Sangaralingam (referee) ; Jeřábek, Petr (referee)
This paper comprehensively reviews a large number of studies on enterprise internationalization in emerging markets, the relationship between enterprise internationalization and performance, and the internationalization of Polish enterprises. Based on the previous research results, the paper selects a three-stage model of the degree of internationalization of developed enterprises, and derives a three-stage model of internationalization of multinational companies in emerging markets. Then through an empirical case study of Polish multinational enterprises, analyzes the regression results, makes the conclusions and some relevant policy recommendations.
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Inflation Target Setting in Emerging Markets
Orosz, Előd ; Horváth, Roman (advisor) ; Herrmannová, Lenka (referee)
This thesis focuses on emerging market economies which are using inflation targeting as a monetary policy framework. We present an analyses of development of inflation target in emerging market economies and detected its determinants by econometric methods. We used Random Effects Interval Regression, Ordinary Least Squares, Random Effects Generalized Least Squares and Fixed Effects estimator. The thesis contains two main parts. First part surveys theoretical background of inflation targeting focusing on emerging markets. Second part contains an empirical study on inflation targeting. We find out that inflation target in emerging countries is affected by more factors than central banks report. Moreover we found out that price level has an inverse effect on inflation target if we examine just emerging countries, than if we examine whole group of inflation targeting countries.
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Russia-China relations within the framework of BRICS and their international significance in terms of neo-marxist theory and neoliberal institutionalism
Rybachenko, Diana ; Kučerová, Irah (advisor) ; Parízek, Michal (referee)
Neo-Marxism and neoliberal institutionalism are applied to investigate which factors determine the cooperation of emerging powers and what consequences it may have globally within the case of Russia-China relations in BRICS. To this end, congruence analysis is applied. Based on available data, comparison of predictions with observations reveals that the majority of evidences accord with neo-Marxism. Russia and China affirm their position against the predominance of one center in the international arena and emphasize common commitment to a more equitable multipolar world order that is permanently reflected in the statements of Russian and Chinese leadership. The trade war between the US and China since 2018 is one of the evidence of the growing disintegration of the existing world order. Building a new order is based on the creation of regional coalitions of the countries that share common views on specific issues. Within the framework of BRICS, Russia and China have already taken measures towards own financial institutions as an alternative source of funding. The leaderships of both countries believe that emerging economies should have a greater voice and representation in international financial institutions. Their primary interest is the reform of the International Monetary Fund so that it...
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Three Essays on Central European Foreign Exchange Markets
Moravcová, Michala ; Horváth, Roman (advisor) ; Komárek, Luboš (referee) ; Baumohl, Eduard (referee) ; Pappas, Vasileios (referee)
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...
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Macro-Financial challenges in Emerging Markets
Jašová, Martina ; Geršl, Adam (advisor) ; Schmieder, Christian (referee) ; Babecký, Jan (referee) ; Jakubík, Petr (referee)
This dissertation thesis consists of three essays on macroeconomics and finance. In these essays, I focus on events which adversely affect emerging markets and present challenges to economic policy and central bank thinking. My aim is to contribute to the existing empirical literature by providing new evidence on the role of private credit, effects of macroprudential policies and understanding of the exchange-rate pass-through. The first essay evaluates policy measures taken to curb bank credit growth in the private sector in the pre-crisis period 2003-2007. The analysis is based on an original survey conducted on central banks in Central and Eastern Europe. The findings reveal substantial policy intervention and indicate that certain measures - particularly asset classification and provisioning rules; and loan eligibility criteria - might have been effective in taming bank credit growth. The second essay contributes to the existing literature on early warning indicators as well as to the discussion on the appropriateness of credit-to-GDP gap as a leading variable for any country for activation of the countercyclical capital buffer instrument in Basel III. We exploit long-run credit series for 36 emerging markets and evaluate their quality to signal a crisis by using receiver operating characteristics...
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Dynamics of Exchange Rates in Selected Emerging Markets in Risk-on/Risk-off Periods
Ivanov, David ; Brůna, Karel (advisor) ; Šíma, Ondřej (referee)
This thesis focuses on exchange rates dynamics in Mexico, Turkey and South Korea. We examine the capital flow development in mentioned countries and currency dynamics of the Mexican Peso, Turkish Lira and Korean Won. The main goal of the paper is to evaluate the performance of these currencies in risk-on and risk-off episodes on a sample period from 1997 until 2016. We use analysis and comparison as a methodology for this paper, emphasizing on the relationship and causality between capital flow and exchange rates. We shall reveal that the examined currencies depreciate in risk-off periods and only the Korean Won appreciates in risk-on periods.
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Asset Pricing in Emerging Markets
Ajrapetova, Tamara ; Witzany, Jiří (advisor) ; Fičura, Milan (referee)
General content: Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity. The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets. The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place.
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CZECH CIVIL AIRCRAFT MANUFACTURES AND THEIR POTENTIAL ON EMERGING MARKETS TYPE OF CHINA
Brix, Vojtěch ; Frömmel, Tomáš (advisor) ; Prokop, Jaromír (referee)
In this thesis the author analyses the potential of aircraft manufacturing industry of the Czech Republic on emerging markets. Czech manufacturers have been operating only in two of the main sub-segments of the whole industry. Three main manufacturers were selected based on their revenues and each analysed from the financial, product portfolio, sales, and R&D point of view. The markets were selected applying the rating approach. For the purposes of the selection process a multi-criterial matrix was constructed of eleven parameters and two specific superstructures for each of the segments within the range. In the last part, the economic impact on the Czech Republic was estimated, specifically in terms of the labour market and contribution to the state budget via taxes and foreign trade balance.
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Determinants of Production and Sales in Automotive Industry: Evidence from ŠKODA AUTO
Sezemský, Ondřej ; Teplý, Petr (advisor) ; Mikolášek, Jakub (referee)
Automobiles can be today considered as cultural icons which indicate the level of develop- ment of a particular state. This thesis provides analysis of automotive industry in general from the point of view of globalization, linkages, value chains and macroeconomic envi- ronment. We will stress crucial challenges that face global original equipment manufac- turers, depict situations on most important emerging markets and forecast development that we can expect there. In the context of these information we will develop economet- ric analysis which will widen current findings from microeconomic and macroeconomic perspective of a car manufacturer. ŠKODA AUTO represents the most important en- terprise in the Czech Republic and at the same time is a part of the biggest automobile concern in the world. We will use internal data from the company for our research and give overall recommendations. Central questions in this study are the following: What are the forecasted needs of the customers on emerging markets? How sensitive are com- panys' costs on the output? And finally, which role do the macroeconomic indicators play in delivering of automobiles to end customers? 1
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