Detail práce

Behavioral finance explaining excessive volatility of returns on financial instruments

Autor: Bc. Šárka Křížková
Rok: 2016 - letní
Vedoucí: PhDr. Jiří Kameníček CSc.
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 68
Abstrakt: The main focus of this thesis is to comprehensively describe the area of research called Behavioral
finance and to point out a theory which has existed over 30 years but it is still not further developed: the
Prospect theory. It has an application in many areas including finance - the major of this work. The
thesis analyses the volatility of returns on futures contracts on cotton, crude oil and S&P 500 index using
ARCH type models. The analysis confirms an asymmetric leverage effect of returns on volatility of all
of the three contracts which corroborates a loss aversion in the decision making of investors, one of the
main features of Prospect theory. On the other hand a measure of investor sentiment defined using open
interest information incorporated in the model to directly capture investors reactions proved to be a weak




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