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Technical Analysis
Kratochvíl, Bohumír ; Dřímal, Dominik (referee) ; Novotná, Veronika (advisor)
Master´s thesis goal that the author hopes to achieve is a design of an application aiding stock technical analysis based on identified needs. Based on analysis regarding modules for technical analysis of current trading platforms, I found out there is a certain space for improvement. Implemented trading rules and technical indicators of the application itself are further examined in terms of prognostic success rate on historical data. Selected chapters of technical analysis are fundamental base for this master´s thesis.
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Dynamics of the volume-volatility relationship in the currency markets
Tůma, Adam ; Baruník, Jozef (advisor) ; Komárek, Luboš (referee)
This work investigates the volume-volatility relationship dynamics in the currency markets using data of five currency pairs in the period between 2010 and 2022. By employing multiple specifications of the HAR model with volume- related regressors and also with time-varying parameters (TVP), we examine the relationships' changing dynamics over time with a focus on improving volatility forecasting performance. Our main findings suggest a strong correlation between volume and volatility. The TVP-HARV model shows significantly changing dy- namics of the volume-volatility relationship, especially during periods affected by politics, changing monetary policies or global crises. The proposed models, however, do not improve out-of-sample volatility forecasting performance com- pared to the benchmark HAR model. The causal effect in the volume-volatility relationship in the currency markets is slightly more substantial in the direction of volatility towards volume, where we find slight forecasting improvements. Our findings conclude that volume and volatility in the currency markets are mainly moving simultaneously with a very strong correlation and much weaker and often insignificant causal effects on both sides, which supports the mixture of distributions hypothesis.
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Analysis of the US stock market during the COVID-19 pandemic
Tůma, Adam ; Krištoufek, Ladislav (advisor) ; Fanta, Nicolas (referee)
This work investigates the effect of the COVID-19 pandemic on the S&P 500 stock index and its eleven sectors. Employing the ARMA and the T-GARCH model on a time series of daily returns from 2018 until March 2021, we examine the impact on volatility, returns, and day-of-the-week effect during the stock market crash caused by the pandemic and the period after. Our main findings imply that in the case of returns, the Monday effect was more negative than the Friday effect during the market crash and vice versa in the rising market after the crash. Concluding that the calendar time hypothesis holds for the observed periods. In terms of volatility, it drastically increased across the US stock market during and even after the crash. The increase was especially noticeable for the IT and Energy sectors. We also found the U-shaped daily volume pattern changed significantly with proportionately less volume of trades happening in the first half-hour of trading and more throughout the whole day.
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The comparison of Russian, Kazakhstanian and Belarusian stock exchanges
Almenova, Ariadna ; Veselá, Jitka (advisor) ; Kábrt, Tomáš (referee)
The topic of the bachelor thesis is the comparison of stock exhanges within the post- Soviet countries: Russia, Kazakhstan and Belarus. In the first part of the work, the stock exchanges are compared in terms of history, organization structure and membership conditions. The following part is focused on comparing such characteristics as trading methods, the market segmentation and trading settlement according to the individual stock exchange. The rest of the research is dedicated to the analysis of the trade volumes, the number of securities issued and the market capitalization. Furthermore, the last chapter discusses the indeces and analyses its development over the time period.
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Technical Analysis
Kratochvíl, Bohumír ; Dřímal, Dominik (referee) ; Novotná, Veronika (advisor)
Master´s thesis goal that the author hopes to achieve is a design of an application aiding stock technical analysis based on identified needs. Based on analysis regarding modules for technical analysis of current trading platforms, I found out there is a certain space for improvement. Implemented trading rules and technical indicators of the application itself are further examined in terms of prognostic success rate on historical data. Selected chapters of technical analysis are fundamental base for this master´s thesis.
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Stock Exchanges in the Czech Republic and in Some of Other EU Member Countries
FIALA, Jakub
The bachelor thesis titled The Stock Exchange Market in the Czech Republic and Selected EU Member States deals with the establishment and development of the capital market in the Czech Republic, Hungary and the United Kingdom. The main objective of the thesis is to evaluate the development of stock exchange indicators in 2006 and a few more years in the past. The theoretical part, explaining the basic concepts, is followed by the presentation of the main stock exchange index for the stock market and bond market respectively, on each of the stock exchanges separately. Subsequently, all the indexes were mutually compared. Efficiency, liquidity and the risk level were examined on all the individual markets separately. The comparison of all the indicators and outcomes resulted in a clear conclusion that the London Stock Exchange is the most developed among the currently compared ones, belonging to the group of the world{\crq}s major stock exchanges. Both stock exchanges from the Central European region should, in theoretical terms, have similar results. However, the reality is different. As regards the volumes of trades, in this case, a larger volume in 2006 was traded on the Prague Stock Exchange. However, if we look at the results of the other indicators, the Budapest Stock Exchange achieved better figures in almost all the other cases.
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