Impact of investors' mood on European stock markets
| Author: | Mgr. Jaroslav Rosol |
|---|---|
| Year: | 2020 - winter |
| Leaders: | prof. Ing. Evžen Kočenda Ph.D., DSc. |
| Consultants: | |
| Work type: | Finance, Financial Markets and Banking Masters |
| Language: | English |
| Pages: | 95 |
| Awards and prizes: | |
| Link: | |
| Abstract: | This thesis investigates into relationship of mood and stock markets. As proxies for mood we selected Daylight Savings Time changes, Lunar cycles and football results. Any abnormal returns on related days would present a challenge for Efficient Markets Hypothesis. We examine stock returns on corresponding days using up-to-date daily data of European All Share indices and analyse them using ARMA-GARCH model. Our results for Daylight Savings Time change are neither uniform nor statistically significant with one exception. Even though results for Lunar cycles mostly follow expected positive relationship, they also lack statistical significance. For France and Croatia we find statistically significant negative relationship between wins of national teams and stock returns, which goes against our expectations and previous research. Statistically significant negative relationship is expected for days after losses and potential elimination of national teams from competition as we confirmed for Croatia and Italy. |
