Psychological barriers in finance: Do they matter?
|Author:||Bc. Klára Brabcová|
|Year:||2018 - summer|
|Leaders:|| prof. PhDr. Ladislav Krištoufek Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||Psychological barriers are one of the well-know anomalies in the behavioural finance
field. The diverging views are still a discussed topic in the academic sphere,
as well as in the world of finance professionals. This thesis investigated the role
of these barriers in a group of 9 American, European and Asian indices over the
period from 2002 to 2018. Using the uniform distribution test and standard ordinary
least squares regression, we look specifically at the effect of the barriers
on the distribution of index price levels. Subsequently, we analyse the impact of
the barriers on the stock returns. Our results show insignificant impact of such
psychological barriers on both of these aspects. This confirms the hypothesis suggested
in recent studies on this topic, which claims that the market anomalies
tend to disappear over the time upon their publication.