Work detail

Impact of investors' mood on European stock markets

Author: Mgr. Jaroslav Rosol
Year: 2020 - winter
Leaders: prof. Ing. Evžen Kočenda M.A., 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.

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CRIF
McKinsey
Patria Finance