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Macroeconomic factors and stock returns: Evidence from three Central and East European countries
Tung, Christopher ; Novák, Jiří (advisor) ; Dědek, Oldřich (referee)
This dissertation deals with the links between stock market returns and foreign exchange rates, industrial production and exports to Germany in three Central and East European countries (the Czech Republic, Hungary and Poland). The main questions addressed are: "Do macroeconomic factors related to foreign exchange rates and industrial production affect stock market returns in the Visegrad-3? And what is the impact of exports to Germany on those stock returns?" This analysis makes use of panel-data and the Arbitrage Pricing Theory (APT) to produce results. Firstly, foreign exchange rates are found to have a negative effect on stock returns. However the divergence in currency returns between the three countries means that the overall effect may be due to some factors that are not accounted for in this analysis. Secondly, there is a positive, but lagged, association between industrial production and stock returns. Thirdly, exports to Germany from the region are also found to have a positive impact on the stock returns of the Visegrad-3. Finally, there is divergence among the three countries with respect to the relationship between the macroeconomic factors and stock returns. Poland and Hungary are seen to exert a significant amount of influence over the region's stock markets.
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Kvalita úvěrových portfolií a faktory jejich vývoje ve vybraných zemích CEE
Votavová, Jolana
The thesis aims to identify and assess factors determining quality of loan portfolio in Visegrad Four in the period of 1998-2014. Literature review helped to identify factors which could have had an impact on loan quality in selected countries. The level of non-performing loans could be influenced by both macroeconomic determinants: GDP growth, unemployment rate, inflation rate, nominal effective exchange rate, and bank specific factors: cost efficiency and capital adequacy. Econometric analysis tests these factors and as statistically significant determinants having impact on quality of loan portfolios identifies mainly macroeconomics determinants (GDP growth, unemployment rate, nominal effective exchange rate) and capital adequacy.
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Performance analysis of non-financial companies within the business cycle
Kramoliš, Richard ; Pošta, Vít (advisor) ; Nečadová, Marta (referee)
This bachelor s thesis deals with analysis of the relationship between performance of non-financial companies and macroeconomic factors. There will be presented several important factors and the aim is to find factors that significantly influence the performance of non-financial companies. The theoretical part of this paper will outline how macroeconomic factors can affect non-financial companies. In the next part, these hypotheses will be examined. The basic method used for this analysis will be regression analysis. Due to the regression analysis, it will be possible to determine which factors influence performance.
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Macroeconomic factors and stock returns: Evidence from three Central and East European countries
Tung, Christopher ; Novák, Jiří (advisor) ; Dědek, Oldřich (referee)
This dissertation deals with the links between stock market returns and foreign exchange rates, industrial production and exports to Germany in three Central and East European countries (the Czech Republic, Hungary and Poland). The main questions addressed are: "Do macroeconomic factors related to foreign exchange rates and industrial production affect stock market returns in the Visegrad-3? And what is the impact of exports to Germany on those stock returns?" This analysis makes use of panel-data and the Arbitrage Pricing Theory (APT) to produce results. Firstly, foreign exchange rates are found to have a negative effect on stock returns. However the divergence in currency returns between the three countries means that the overall effect may be due to some factors that are not accounted for in this analysis. Secondly, there is a positive, but lagged, association between industrial production and stock returns. Thirdly, exports to Germany from the region are also found to have a positive impact on the stock returns of the Visegrad-3. Finally, there is divergence among the three countries with respect to the relationship between the macroeconomic factors and stock returns. Poland and Hungary are seen to exert a significant amount of influence over the region's stock markets.
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Analysis of factors affecting the market for pension funds in the Czech Republic
PAULOVÁ, Martina
The theme of my thesis is the analysis of the factors influencing the market of pension funds in the Czech Republic. The aim of this work is to analyze the factors affecting the pension market in the last ten years. The theoretical part is focused on the overview of a given issue, the definition of legislative terms and basic concepts. There is described the basic characteristics of the pension funds and the legal framework. A separate chapter is devoted to the management of pension funds and state supervision of pension funds. There is also an overview of the development of the pension fund in the Czech Republic and other terms associated with it. In the practical part there is monitored an impact of individual factors (the gross domestic product, unemployment, inflation and wage developments) on indicators of the pension market, with evaluation by using regression and correlation analysis. The aim is to determine whether there is a relationship of macroeconomic variables on the characteristics of the pension market, or how to tight the binding between them. In the second part of the practical work was monitored the performance of each pension fund.
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