PhDr. Michael Princ

Fotografie

Akademická funkce: Ph.D. Candidate
Odborné zaměření: Finanční trhy, finanční ekonometrie, finanční aspekty ekonomické integrace
Členství: Doktorandi, Katedra makroekonomie a ekonometrie

Kontakt

Kancelář: 602
Email: mp [DOT] princ [AT] seznam [DOT] cz
Telefon:
Osobní www stránka: http://ideas.repec.org/f/ppr213.html
Konzultační hodiny: po domluvě emailem

Další informace

PhD studium

Školitel: prof. Ing. Oldřich Dědek CSc.

Rok začátku PhD studia: 2009
Datum rigorózní zkoušky: 03/2010
Datum státní dr. zkoušky:
Malá obhajoba:
Velká obhajoba:

Vědecká práce:
RePEc

Disertační téma:
Three Essays about Volatility and Portfolio Theory: European Stock Markets

Disertační teze:


  The main aim of a dissertation is to analyse and describe behaviour of investors at European stock markets with a special attention to development in the Central Europe and the Czech Republic. The dissertation is supposed to be divided into three separate essays.
  The first essay analyses volatility spillover effects across the European region with a particular interest in a comparison of emerging and developed markets in terms of stock prices. A nature of volatility spillover effects will be examined not only through its magnitude captured in MV DCC GARCH, proposed by Engle (2002), model output, but also accompanied with a direction of volatility flows described by the Granger causality. The researched sample is supposed to contain low frequency data capturing a long time period, which is a basis for a complete historical overview. The overview starts from establishments of stock markets in transitional countries until latest world financial crisis in 2008/2009. The multivariate approach also encourages researching all countries individually, when internal structure can be compared with international relations. This can be achieved through analysis of GARCH class processes (e.g. EGARCH, IGARCH, APARCH) underlying data from individual countries and its parameters or through structural breaks found by ICSS test proposed by Inclan-Tiao (1994).
  A second essay adds a concept of liquidity into the analysis. The liquidity of trading is used in various models. A practical application can be perceived in uncovering of stealth trades, respectively in a test of trading made by informed traders, who try to cover their incentives through augmented transactions as proposed by Barclay and Warner (1993). This common problem on markets is enabled by a usage of internal information violating equal conditions for investors and it could be tested across European stock markets. Moreover it is possible to use analytical tools from previous essay and research a volatility of liquidity across various markets, which is used for better understanding of a price development and a market premium.
  Finally the third essay re-establishes an analysis based solely on volatility of stock prices, however there is a difference in an approach to the theme and in an essence of data sample. The analysis copes with high frequency data sets and the aim is instead of a historical overview a precise description of volatility spillover effects micro-structure. Results of the first essay set a background for the intraday research, which can compare differences between particular periods e.g. establishment of emerging stock markets, local crises, global crises, deepening international integration; using high frequency data sets. In addition a higher frequency of the sample can be used as a benchmark of previous outcomes.

Volitelné předměty (absolvované):
ELBF - Economics and Law in Banking and Finance
NDES - Non-linear Dynamic Economic Systems
ETPM - Economic Theory of Political Markets

Životopis

Vzdělání

2009+        PhD. student na IES FSV UK
2006-2009 magisterský program na IES FSV UK
2007          Program Erasmus; Hanken - Business School of Economics, Helsinki Finsko
2003-2006 bakalářský program na IES FSV UK
1995-2003 Gymnázium Jana Keplera v Praze

Odborná praxe

2009/10 Ekonomie I, Ekonomie II, Mikroekonomie I
2010/11 Mikroekonomie II, Seminář z matematické analýzy I, Seminář z matematické analýzy II
2011/12 - Seminář z matematické analýzy I, European Economic Integration, Financial Management, Seminář z matematické analýzy II
2012/13 - Seminář z matematické analýzy I, European Economic Integration, Financial Management, Seminář z matematické analýzy II
2013/14 - Seminář z matematické analýzy I, European Economic Integration, Financial Management, Seminář z matematické analýzy II
2014/15 - Portfolio Analysis and Risk Management

Recenzent
Finance a úvěr
Prague Economic Papers

Veřejné aktivity

2010-2013 Spolupracovník skupiny NERV - podpora podnikání a konkurenceschopnost
podskupina podpora finančních trhů
2010-2013 Spolupracovník skupiny NERV - podpora podnikání a konkurenceschopnost
rozvoj podnikatelského prostředí

Ocenění

Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek a za vynikající diplomovou práci Volatilita akciového trhu v České republice: Vzestupy a pády

Nabídka témat závěrečných prací

Bakalářské práce

Corporate governance practices and firm performance;
European region: integration and stock market evolution;
Financial liberalization and stock market efficiency;

(nebo po domluvě/or upon request)

Diplomové práce

Corporate governance practices and firm performance;
European region: integration and stock market evolution;
Financial liberalization and stock market efficiency;
Liquidity and informed investors in the Czech Republic;
Econometric modelling of financial markets;

(nebo po domluvě/or upon request)

Vedoucí bakalářských prací

vše/oceněné: 2/0
Oceněné:

Vedoucí diplomových prací

vše/oceněné: 4/1
Oceněné: Mgr. Štefan Michlian

Ke stažení

Aktualizace ISP 2010
Aktualizace ISP 2011
Aktualizace ISP 2012
Aktualizace ISP 2013
Aktualizace ISP 2014
Aktualizace ISP 2015
ISP 2009
Roční hodnocení 2009
Roční hodnocení 2010
Roční hodnocení 2011
Roční hodnocení 2012
Roční hodnocení 2013
Roční hodnocení 2014

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF