Financial asset prices reflect investor's perspectives over the current and future situation of a firm, an industry, a country and ultimately, the entire economy. For this reason, how financial asset prices are driven has been a fundamental economic question. Specific market characteristics such as the number of sellers and buyers, investors valuation perceptions, market availability of other assets and legal and technical properties are some of the features that affect asset prices. When the same asset is traded at different venues, these specific characteristics may vary, following a certain degree of heterogeneity across buyers and sellers. The direct consequence is that transaction prices of the same asset differ across markets. However, prices will also not drift apart, since arbitrage opportunities would arise, reducing or even eliminating the differences. Prices of similar securities linked to a single latent price, as derivative markets, for instance, present the same behaviour. Price differences among markets observed at high frequencies are an indication that venues incorporate new information in an unlike way. The structure and design of a market impacts its behaviour, liquidity, effciency, and hence how prices are discovered. The task of identifying the leading markets and understanding how the price dynamics occurs are the main objectives of the price discovery analysis. Chapter 1 introduces the research subject of price discovery, motivating the importance of what this thesis proposes and the results and conclusions obtained. Chapter 2 explains in details the main methodologies used to measure price discovery and the important results in the empirical literature. Chapter 3 motivates the data set this thesis uses, with institutional background details and specific market and firm characteristics. We also present in details the steps we follow to deal with standard issues of high frequency data, such as outliers and errors on a tick-by-tick database and non synchronicity of prices at different markets. Chapter 4 extends the standard price discovery model to estimate the information share (IS) accounting for the information content of both common and preferred non US stocks, their American Depositary Receipts (ADRs) counterparts traded on the New York Stock Exchange and ARCA, and the exchange rate. We gauge the significance of price discovery in the home and foreign markets, through common or preferred stocks. One of the main critiques on the IS methodology is that it does not deliver a single measure when there is contemporaneous correlation among markets. We propose an ordering invariant methodology that delivers a single measure of IS.We find that the foreign market is more important than the home market for the price discovery of Petrobras, the Brazilian stated-owned oil giant, and Vale, one of the largest mining companies in the world. Additionally, the Brazilian market has lost significant importance after the 2008/2009 financial crisis. During this period, common and preferred stocks shared a single common factor, with voting premium being a stationary process. Chapter 5 investigates instantaneous and long-run linkages between common and preferred shares traded at both domestic and foreign markets. We develop a market microstructure model in which the dynamics of the different share prices react to three common factors, namely, the efficient price, the efficient exchange rate, and the efficient voting premium. We show how to identify the structural innovations so as to differentiate instantaneous and long-run effects. First, we obtain dynamic measures of price discovery that quantify how prices traded at different venues respond to shocks on the common factors. Second, we are able to test whether shocks in the efficient exchange rate change the value of the firm. Third, we test whether shocks on the efficient voting premium have a permanent effect on preferred shares. We implement an empirical application using high-frequency data on six Brazilian large companies. We find that, in the long-run, a depreciation of the Brazilian currency leads to a depreciation of the value of the firm that exceeds the expected arbitrage adjustment. In addition, a positive shock on the voting premium yields a positive impact on the value of the firm. Our price discovery analysis also reveals that one trading day suffices to impound new information on all share prices, regardless of the venue they trade at. Finally, Chapter 6 concludes.

This Thesis is dedicated to the variance decompositions from the VAR model un- der the Diebold, Yilmaz (2012) methodology combined with the Baruník, Křehlík (2017) method of frequencies that was used to create traditional and directional spillover tables to be compared under different frequencies. Diverse markets vari- ables were used for the analysis during the period 1/6/1999 to 29/6/2018. The S&P 500 Index represented the financial markets, EUR/USD and YEN/USD rep- resented the Forex markets, and eight types of commodities: Crude Oil, Natural Gas, Gasoline, and Propane represented energy commodities and Corn, Coffee, Wheat, and Soybeans represented food commodities. This analysis contribute to understanding of the dynamic frequency connectedness in case of a differentiated system of markets. The main finding was the strongest short-frequency reaction to shocks in case of all variables, which is opposite behavior than usually observed in banking sector frequency dynamics analyses. JEL Classication: F12, F21, F23, H25, H71, H87 Keywords: connectedness, financial market, forex market, commodity market, systemic risk, spillovers, frequency analysis Author's e-mail: 93414233@fsv.cuni.cz Supervisor's e-mail: barunik@fsv.cuni.cz

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This thesis presents an empirical investigation of the behaviour of financial markets and also the relationship on the real economy. The thesis will focus on Ireland, a small open economy with increased dependence on international developments. Two important aspects of the Irish economy, the term structure of interest rates and impact of exchange rate volatility, will be analysed. The motivation for the analysis of the term structure of interest rates in part I is two fold. Central banks can control very short-term interest rates, but of course the real economy will only really be affected by the long-term interest rate. Therefore the transmission mechanism from monetary policy to the real economy will depend on the relationship between short-term interest rates and long-term interest rates, i.e. the term structure of interest rates. The second important issue is that of market efficiency, and whether asset prices and returns are correctly valued by the market. A number of different interest rate maturities will be used to test the Expectations Hypothesis (EH) of term structure. The EH will also be tested assuming constant and time varying term premia. The results give support for the EH, and fmd no evidence of a time varying term premium. Given the recent extraordinary growth in the share of Irish exports in GDP, the impact of exchange rate volatility on Irish exports is analysed in part 2. The moti vation behind part 2 is to test whether the resulting monetary union will lead to a rise in exports, as a result of the end of exchange rate risk. Using the cointegration-ECM methodology I fmd that in the long-run there is no significant effect on Irish exports to the UK, while there is actually a positive impact on exports to European countries (UK included). I tentatively conclude that in the long-run the involvement in a single European currency will have no impact on trade.

Diss. Göteborg : Göteborgs universitet, 2006.

Diss. Stockholm : Stockholms universitet, 2006.

The acceptation of a single currency has an influencial impact on the economy of the country, especially on its financial market. This work examines all parts of finacial market of the Eurozone, assesses their state of development and compares it with the situation in the Czech Republic. The work also tries to estimate the impacts, that the acceptance of a single currency will bring to Czech financial market, and where it is possible, it uses the experience of Slovenia, which has adopted euro in 2007 and its economy is very similar to that of Czech Republic. The work finds out that the Eurozone has achieved a significant progress in the integration of its financial market, an improvement in its liquidity, costs of security issues and other aspects as well. Adoption of the euro in Slovenia has been successfull and it was not accompanied by substantial problems, except for an increase in inflation. However, the expected progress in the development of financial market is not observable yet, althought this fact may be attributed to many other external reasons, too. Finally the conslusion of this work implicates, that the Czech Republic has the oportunity to benefit from participating in a large integrated financal market and achieve a progress, that would never be possible if it remained separate.

This paper analyzes cryptocurrencies as financial instruments. Firstly, we introduced the main features of cryptocurrencies and summarized the brief history. We found out that price of the most famous cryptocurrency Bitcoin follows the hypothesis of efficient markets and it immediately react on publicly announce information. Furthermore, Bitcoin can be seen as standard economic good that is priced by interaction of supply and demand on the market. These factors can be driven by macro financial development or by speculative investors, but there weren't found any significant impact of these factors on price of Bitcoin. CAPM shows the high risk of cryptocurrencies, but it could be still good instrument for diversification.

Diploma thesis deals with analysis of investment posibilities in the Czech Republic. It is focused on Czech stock market and Czech bond market. The aim of this thesis is to make an appropriate choise for financial investment of the enterprise with regard to its investment strategy and present economic situation, paying regard to circumstances that currently exist on financial market.

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