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Vliv informační kaskády na sektorové indexy

Diploma thesis refers about effect of informational cascade, which is causing herding behaviour, in sector indices. Thesis distinguishes between market and sector informational cascade. Each of them is represented as an indicator made from dataset provided by Google trends service. Effect is demonstrated on extended version of CAPM theoretical concept to multi factorial model including the indicators, which is based on APT theoretical concept. For the purpose of robust analyses is then realized Granger causality on regression results.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:251335
Date January 2015
CreatorsVečeřa, Rudolf
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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