PhDr. Michael Princ

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Position: Ph.D. Candidate
Field of interest: Financial Markets, Financial Econometrics, Financial Aspects of Economic Integration
Membership: Macroeconomics and Econometrics, PhD Candidates

Contact

Office: 602
Email: mp [DOT] princ [AT] seznam [DOT] cz
Phone:
Personal web pages: http://ideas.repec.org/f/ppr213.html
Available: upon request via email

More information

PhD study

Tutor: prof. Ing. Oldřich Dědek CSc.

Studying from: 2009
PhDr examination: 03/2010
Final exam:
Dissertation Proposal defence:
Dissertation defence:

Current work:
RePEc

Dissertation topic:
Three Essays about Volatility and Portfolio Theory: European Stock Markets

Disertation abstract:


  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.

Optional courses:
ELBF - Economics and Law in Banking and Finance
NDES - Non-linear Dynamic Economic Systems
ETPM - Economic Theory of Political Markets

CV

Education

2009+        PhD. candidate at the Institute of Economic Studies, Charles University
2006-2009 Master degree in economics at the Institute of Economic Studies, Charles University
2007          Erasmus Programme; Hanken - Business School of Economics, Helsinki Finland
2003-2006 Bachelor degree in economics at the Institute of Economic Studies, Charles University
1995-2003 High school Gymnázium Jana Keplera in Prague

Job history

2009/10 - Economics I, Economics II, Microeconomics I
2010/11 - Microeconomics II, Seminar of mathematical analysis I, Seminar of mathematical analysis II
2011/12 - European Economic Integration, Seminar of mathematical analysis I, Financial Management, Seminar of mathematical analysis II
2012/13 - European Economic Integration, Seminar of mathematical analysis I, Financial Management, Seminar of mathematical analysis II
2013/14 - Seminar of mathematical analysis I, European Economic Integration, Financial Management,Seminar of mathematical analysis II
2014/15 - Portfolio Analysis and Risk Management

Referee
The Czech Journal of Economics and Finance
Prague Economic Papers

Extra activities

2010-2013 Co-worker of National Economic Council (NERV) - Business support and competitiveness
sub-committee for support of financial markets
2010-2013 Co-worker of National Economic Council (NERV) - Business support and competitiveness
sub-committee for business sophistication

Awards and prizes

M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good masters diploma thesis The Stock Market Volatility in the Czech Republic: Rises and Falls

Topics for supervision

Bachelor theses

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)

Master theses

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)

Supervised Bachelor theses

all/awarded: 2/0
Awarded:

Supervised Master Theses

all/awarded: 4/1
Awarded: Mgr. Štefan Michlian

Downloadable

Annual evaluation 2009
Annual evaluation 2010
Annual evaluation 2011
Annual evaluation 2012
Annual evaluation 2013
Annual evaluation 2014
ISP 2009
ISP update 2010
ISP update 2011
ISP update 2012
ISP update 2013
ISP update 2014
ISP update 2015

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