Assoc. Prof. Svatopluk Kapounek, Ph.D.
Mendel University in Brno
Faculty of Business and Economics
Zemědělská 1, 613 00 Brno
Czech Republic
I am senior researcher and lecturer in the field of financial econometrics, international investment management, international finance and monetary economics. Additionally, I am vice-dean of research and program director of Finance and Investment Management at the Faculty of Business and Economics, Mendel University in Brno, Czech Republic, vice-president of the Czech Economic Society, and research fellow of the National Bank of Slovakia.
My research focuses on policy and uncertainty modelling including decision making processes employing Frequentist and Bayesian frameworks, especially:
- financial system vulnerability, regulatory mechanisms and monetary policy efficiency in the heterogeneous Europe, financial cycle dating and co-movement identification in time, frequency and time-frequency domain;
- firm access to finance, firm-bank relationships, crowdfunding, ownership structures and its consequences;
- financial asset pricing and forecasting with respect to anomalies explained by expectations, sentiment, behavioural (in)attention and portfolio optimization.
Professional Path
Research fellow at the National Bank of Slovakia
Editor in Chief, European Journal of Business Science and Technology
European Journal of Business Science and Technology
Associated Professor at the Department of Finance, Mendel University in Brno, Faculty of Business and Economics
Department of Finance
Researcher at the Research Centre, Mendel University in Brno, Faculty of Business and Economics
Assistant Lecturer, Mendel University in Brno, Faculty of Business and Economics
Qualification
Habilitation: Finance
Ph.D.: Finance
Ing.: Finance
Computer Skills
Matlab, Stata, Python, LaTeX and others I need for my research activities
Languages
English (advanced), German (basic), French (basic), Czech (mother tongue)
Selected Publications
Selected Work in Progress
- HORVÁTH, R., KAPOUNEK, S. Measuring Financial Market Uncertainty in the U.S.
- KAPOUNEK, S., KUČEROVÁ, Z. Google Trends and Exchange Rate Movements: Much Cry and Little Wool?
- KAPOUNEK, S., KUČEROVÁ, Z. Herding Behaviour and Information Asymmetries in Crowdfunding.
- BUKOVINA, J., KAPOUNEK, S. Google Queries as Indicator of Mortgage Demand: Evidence from Wavelet Analysis.
Selected Journal Articles (published and forthcoming)
- FIDRMUC, J., KAPOUNEK, S. 2020. Risks and Financial Vulnerability of Foreign Bank Ownership in CEECs: Evidence from Exchange Rate Depreciation after the Financial Crisis. Eastern European Economics, 58(1), 34–48, IF=1.080 (download pdf)
- KAPOUNEK, S., KUČEROVÁ, Z. 2019. Historical Decoupling in the EU: Evidence from Time-Frequency Analysis. International Review of Economics and Finance, 60, 265–280, IF=1.318 (download pdf)
- DELTUVAITÉ V., KAPOUNEK, S., KORÁB, P. 2019. Households’ Saving Behaviour in Reaction to the External Macroeconomic Shocks and Behavioral Attention. Prague Economic Papers: Quarterly Journal of Economic Theory and Policy, 28(2), 155–177, IF=0.825 (download pdf)
- KAPOUNEK, S., KUČEROVÁ, Z., FIDRMUC, J. 2017. Lending Conditions in EU: The Role of Credit Demand and Supply. Economic Modelling, 67, 285–293, IF=1.463. (download pdf)
- KAPOUNEK, S. 2017. The Impact of Institutional Quality on Bank Lending Activity: Evidence from Bayesian Model Averaging. Finance a úvěr-Czech Journal of Economics and Finance, 67(5), 372–395, IF=0.604 (download pdf)
- FIDRMUC, J., KAPOUNEK, S., SIDDIQUI, M. 2017. Which Institutions are Important for Firms Performance? Evidence from Bayesian Model Averaging Analysis. Panoeconomicus, 64(4), 383–400, IF=0.444 (download pdf)
- KAPOUNEK, S., KAŠPAROVSKÁ, V. 2016. Dynamic Provisioning as an Automatic Stabilizer of the Financial Instability. Society and Economy, 38(3), 341–358 (download pdf)
- FIALA, V., KAPOUNEK, S., VESELÝ, O. 2015. Impact of Social Media on the Stock Market: Evidence from Tweets. European Journal of Business Science and Technology, 1(1), 24–35 (download pdf)
- MARŠÁLEK, R., POMĚNKOVÁ, J., KAPOUNEK, S. 2014. A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks. Computational Economics, 44(4), 477–488, IF=0.691 (download pdf)
- POMĚNKOVÁ, J., KAPOUNEK, S., MARŠÁLEK, R. 2014. Variability of Dynamic Correlation – the Evidence of Sectoral Specialization in V4 Countries. Prague Economic Papers: Quarterly Journal of Economic Theory and Policy, 3, 371–387, IF=0.825 (download pdf)
- KAPOUNEK, S., POMĚNKOVÁ, J. 2013. The endogeneity of optimum currency area criteria in the context of financial crisis: Evidence from the time-frequency domain analysis. Agric. Econ. – Czech, 59, 389–395, IF=0.482 (download pdf)
- KAPOUNEK, S., LACINA, L. 2011. Inflation Perceptions and Anticipations in the Old Eurozone Member States. Prague Economic Papers: Quarterly Journal of Economic Theory and Policy, 2, 120–139, IF=0.825 (download pdf)
- POMĚNKOVÁ, J., KAPOUNEK, S. 2009. Interest Rates and Prices Causality in the Czech Republic – Granger Approach. Agric. Econ. – Czech, 7(55), 347–356, IF=0.482 (download pdf)
Research Projects
Financial Markets Uncertainty: Measurement, Effects and Policy Implications, team member, Czech Science Foundation, reg. number: 20-17044S
Visegrad Group Partnership of Economic Associations, coordinator, Visegrad Fund, reg. number: 21830359
Interactions between the financial sector and the real economy, coordinator, Czech Science Foundation, reg. number: 19-22488S
Reassessment of the Optimum Currency Area in the persistently heterogeneous European Union, coordinator, the Research Council of Lithuania, No. 09.3.3-LMT-K-712
SQTrader – asset optimization methods development, team member, Ministry of Industry and Trade, reg. number: CZ.01.1.02/0.0/16_084/0010365.
Comparative Study of Crowdfunding Projects: Business Decision-Making Process, Risks and Regulation, team member, Czech Science Foundation, reg. number: 17-25924S
Sentiment and its Impact on Stock Markets, coordinator, Czech Science Foundation, reg. number: 16-26353S
Cross-Border Contagion Risk: Threats and Implications for the Central and Eastern European Countries, team member, the Research Council of Lithuania, reg. number: MIP-15031
Financial Crisis, Depreciation and Credit Crunch in CEECs, coordinator, Czech Science Foundation, reg. number: 14-28848S
CEE Banking sector stability after the reform of the European financial supervision, coordinator, Jean Monnet Multilateral Research Group, reg. number: 530069-LLP-1-2012-1-CZ-AJM-RE
Time-frequency approach for the Czech Republic business cycle dating, team member, Czech Science Foundation, reg. number: 402/11/0570
Study of the impact of Euro on the Czech Economy, team member, Czech Ministry of Finance
Courses
Financial Data Analysis (since 2019)
Economic intuition of data transformation, capital market data processing and testing, finacial time series forecasting, volatility, risk and uncertainty measuring, behavioural indicators, big data analyses in financial statements, market disequilibrium, policy impact identification
Alternative Investments (since 2018)
Commodities, real estates, currencies, Private equity, Crowdfunding, ETF, hedge funds, Credit derivatives, Structured products, Alternative investments in portfolio
Theory of Finance (for Ph.D. students, since 2017)
Theory of dynamic asset pricing, Financial market volatility, Risk measurement and forecasting, Portfolio optimization employing DCC, Theory of behavioural finance, Asymmetric information and herding behaviour, Rational Expectation theory, Theory of rational (in)attention
Regulation of Financial Markets (for MSc. students, since 2016)
Financial crisis, causes and consequences, Financial instability and macroprudential policy, Basel I-IV, Solvency I-II, Financial market regulation in the Euro-area and US, Banking union in the Europe, Systemic risk measurement
International Investment Management (for MSc. students, since 2014)
Portfolio risk management, Stockpicking strategies, Modern portfolio theory, International asset pricing models (CAPM, ICAPM, APT, IAPT), Value at Risk, Alternative assets and strategies, Portfolio performance evaluation, Ethics at the financial markets,
Capital Markets (for MSc. students, since 2014)
Fundamental analysis of stocks, Technical analysis of stocks, Bond specifics and bond yield curve estimations, Derivatives – advanced level, Structured products, Options for fundraising in the capital markets
International Finance (for MSc. students, since 2013)
Currency markets, capital flows and exchange rate systems, Balance of payments and basic fundamental analysis of exchange rate, Parity conditions and International Fisher Effect, Monetary approach to exchange rate determination, debt-adjusted real exchange rate, Dornbusch’s overshooting model, portfolio rebalancing, rational expectations and risk premium, Exchange rate forecasting employing technical analysis and ARMA processes, Foreign exchange risk management applying operational techniques and derivatives (forwards, options and swaps)
Financial Economics and Econometrics (for talented MSc. students and Ph.D. students, since 2011)
Merging and basic processing of large databases, cluster analysis, basic regressions employing OLS and ML estimators (time series and panel), endogeneity in panel data (instrumental variables and Arellano-Bond estimator), VAR, cointegration and VECM, GARCH, E-GARCH, TARCH, multivariate GARCH, portfolio optimization employing Markowitz theory and DCC, uncertainty and fat data (Bayesian Model Averaging and Dynamic Model Averaging, LASSO), meta-analysis, behavioural attention measuring
Former
Econometrics, Public Finance, Methodology of Science, Theory of Monetary Integration,
Monetary Policy and Central Banking, Financial Markets
Invited Lectures and Keynote Speeches
Impact of the Euro on Trade in a Heterogeneous EU
International conference on Economic and Social Challenges in the EU, Čeladná, Czech Republic, September 3, 2019
Cryptocurrency Market Efficiency: Evidence from Time-Frequency Analysis
Economic Forum, Košice, Slovakia, June 20, 2019
Herding Behaviour and Information Asymmetries in Crowdfunding
5th Doctoral Symposium, Brunel University London, United Kingdom, May 1, 2019
Implied Volatility Modelling and Portfolio Optimization, Alternative Investments, Efficient Market Hypothesis testing using Wavelet Analysis
University of Florence, Italy, November 8–9, 2018
Alternative Investments and Portfolio Optimization
Zeppelin University in Friedrichshafen, Germany, February 23–May 5, 2018
Applied research challenges and opportunities
Vilnius University, Lithuania, January 3, 2018
Impact of euro adoption on export in heterogeneous Europe
Internal workshop of the National Bank of Slovakia, December 21, 2017
Bayesian model averaging in meta-analysis
MAER-Net Colloquium 2017, Friedrichshafen, Germany, October 12-14, 2017
Depreciation, Liquidity Shocks and Credit Crunch in CEECs
Workshop on Crisis, Economic Governance and Macroeconomic Stability in CEEC, Iasi, Romania, April 18–20, 2013
Financial Econometrics – Problems and Challenges
Conference Metamorphosis of Europe: Simulations of a new Global Political Economy?, Vienna, Austria, December 12–13, 2013