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Analysis of Financial Time Series During a Crisis
PRŮDEK, Lukáš
In this thesis, we will analyze financial time series during and before the crisis. These series will be analyzed using the Box-Jenkins methodology. The aim is to understand this method and then apply it to the prices of the DAX and PX stock indices. The DAX stock index values were compiled by the Frankfurt Stock Exchange and the PX index values were compiled by the Prague Stock Exchange. I will attempt to build models that can reliably describe the series in question for subsequent forecasting over sub-periods. These models and the predictions made from them will then be used to compare changes in time series behaviour.
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Does trading strategy based on overreaction and stock-bond decoupling generate additional profits?
Bosák, Martin ; Čech, František (advisor) ; Baruník, Jozef (referee)
Studying whether new trading rules provide higher returns than the buy-and-hold strategy is relevant for both finance theory and the asset management field. In this thesis, we examine the profitability of the newly proposed trading strategy based on the concept of price overreaction on eight developed stock indices. In comparison to other studies, we extend a definition of price overreaction with an inclusion of a minimum volatility threshold. Based on the Ordinary Least Squares model, we find that a volatility condition significantly improves the predictability of return reversals after positive price overreaction. For comparison with the buy-and-hold, we use Hansen's Superior Predictive Ability test that corrects the data snooping bias. Despite better annualised returns during in-sample and out-of-sample periods, the results show that the proposed strategy is not superior to the buy-and-hold at any stock index due to heavy reliance on the predictions of the largest declines. Nevertheless, we confirm the effect of decoupling (flight to quality) that can positively affect our strategy, but only when we do not take into account transaction costs. In the end, we summarize behavioural concepts that lie behind our strategy as the overreaction and decoupling are mostly justified with cognitive biases.
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Testing the efficiency of capital markets in European economies
Burianec, Dominik ; Pošta, Vít (advisor) ; Gawthorpe, Kateřina (referee)
This master´s thesis deals with testing the efficiency of capital markets. The subject to verification of the stock markets of Austria, Hungary, Germany, Great Britain, Czech Republic and Poland during the 2006-2016Q1. The aim of this work is to test the weak formo f efficiency in these markets. The hypothesis was tested using the ACF test ADF and KPSS tests, variance ratio test, run test and test of January effect.
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Testing the theory of efficient markets
Henzlová, Pavla ; Musílek, Petr (advisor) ; Cibulka, Jakub (referee)
This thesis is focused on testing the weak effectiveness of the US, Japanese, German and Czech market in the period 1995 - 2015. The first part contains a theoretical basis for the theory of efficient markets, the conditions, characteristics and models. Further test methods of weak market efficiency are presented and semistrong and strong effectiveness mentioned. The practical part deals with the introduction of tested stock exchange indices and by testing the weak effectiveness of these markets through tests of randomness, variance ratio test and serial correlation.
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