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An empirical study of impact of inclusion and exclusion from an Index on stock prices
Vellechová, Karolína ; Vozárová, Pavla (advisor) ; Fanta, Nicolas (referee)
This thesis studies the effect of index components changes on the stock prices of added and deleted components. Specifically, the thesis follows two market indexes from Western Europe, CAC 40 and DAX 30, in the period from financial crisis in 2008 to 2020. The theory of Efficient Market Hypothesis suggests that index components change should not impact firm's price, because the index membership is supposed to have no new information, the findings of various researchers found out the opposite. There are several hypotheses, which try to explain these effects. In this thesis three methods were used to estimate the effect of addition and deletion, these were abnormal return, abnormal trading volume and close open difference calculation. The results obtained by all three methods were mostly consistent with the results of previous studies of the US indexes. The calculation of abnormal volume reported significant and expected results for both indexes, which suggested that the day before the change has the highest abnormal volume. Also, the results for close open differences discovered expected pattern, that the highest change happens usually on the day after announcement, which informs about how fast investors reply to index change. The abnormal returns for the CAC 40 index show expected significant...
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Tržné prepojenia: Čínsky vplyv na globálne finančné trhy
Horniaková, Veronika ; Stádník, Bohumil (advisor) ; Janda, Karel (referee)
Thesis is looking into the current issue of financial market integrations and linkages between them. In recent year, the topic of China has been emerging to the forefront of academic research, therefore the focus of this paper is dedicated to the integration of Chinese market. The goal is to establish whether there exists an interdependency between Chinese and world stock markets and evaluate and analyse potential influence of China on world indices. The theory standing behind financial integration suggests that individual markets are becoming mutually dependant. Chinese efforts to become a part of global economy gradually become successful which creates room for academic research. This paper focuses on stock indices of two Chinese stock markets in relation to American, English, Japanese, German, Dutch and French indices. Cross-correlation analysis, causal analysis and co-integration analysis are applied to individual indices in order to find the results.
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