Dopad vybraných tržních událostí na chování investorů: Event study

Abstract

This thesis analyses the impact of selected market events on investor behavior using the event study methodology. The theoretical framework is based on the efficient market hypothesis and behavioral finance, with emphasis on bounded rationality and behavioral biases. The empirical analysis examines market reactions to a dataset of 89 events categorized as monetary, political, economic, and financial. The analysis is conducted using data from SPDR S&P 500 ETF and Vanguard Total World Stock ETF. Expected returns are estimated using the market model, followed by the calculation of abnormal and cumulative abnormal returns, which are statistically tested. The results indicate that market reactions differ across event types and show deviations from market efficiency assumptions that can be explained by behavioral finance.