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 serve as the Vice Rector of Research at the Mendel University of Brno (MENDELU), the Head of the Department of Finance, the Program Director of Finance and Investment Management (FIM), and the Head of the Mendel FinHub research group (Mendel FinHub), Faculty of Business and Economics, Mendel University in Brno, Czech Republic. I am also Editor of the European Journal of Business Science and Technology (EJOBSAT) and former president of the Czech Economic Society (CES).
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.
In my leasure time, I deal with analyses of research activity assessment with respect to San Francisco Declaration on Research Assessment (DORA).
Professional Path
Head of the Department of Finance, Mendel University in Brno, Faculty of Business and Economics
MENDELU
Research fellow at the National Bank of Slovakia
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
- FERRIS, S. P., HANOUSEK, J., HANOUSEK, J., KAPOUNEK, S. Business Group Effects in the Creation and Resolution of Financial Distress. Submitted in Review of Financial Studies, IF=8.414. (download pdf)
- HORVÁTH, R., KAPOUNEK, S. Financial Market Uncertainty in the US: Measurement, Trends, and Effects. Revise & Resubmit in Journal of Banking & Finance, IF=3.539. (download pdf)
- KAPOUNEK, S., KOČENDA, E., KOUBA, L. Financial Impact of Trust and Institutional Quality Around the World. Revise & Resubmit in Journal of Financial Services Research, IF=1.491.(download pdf)
- KUČEROVÁ, Z., KAPOUNEK, S., FIDRMUC, J. Time–Frequency Analysis of Cryptocurrency Attention. Revise & Resubmit in The European Journal of Finance, IF=1.903. (download pdf)
- KAPOUNEK, S., KUČEROVÁ, Z. 2019. Overfunding and Signaling Effects of Herding Behavior in Crowdfunding, CESifo Working Paper Series 7973, CESifo. (download pdf)
Selected Journal Articles (published and forthcoming)
- KAPOUNEK, S., KUČEROVÁ, Z., KOČENDA, E. 2022. Selective Attention in Exchange Rate Forecasting. Journal of Behavioral Finance, 23(2), 210–229, IF=1.647 (download pdf)
- ALBRECHT, P., KAPOUNEK, S., KUČEROVÁ, Z. 2022. Economic Policy Uncertainty and Stock Markets Co-movements. Forthcoming in International Journal of Finance and Economics, IF=3.070 (download pdf)
- KAPOUNEK, S., HANOUSEK, J., BÍLÝ, F. 2022. Predictive Ability of Altman Z-score of European Private Companies. Politicka Ekonomie, 2022(3), 265-287, IF=0.319 (download pdf)
- DIBOOGLU, S., KAPOUNEK, S. 2021. The US Current Account, Sustainability, and the International Monetary System. Economic Systems, 45(4), IF=3.208 (download pdf)
- BAKOVÁ, K., KAPOUNEK, S. 2020. Asymmetric Effects of Firm Investment Determinants: Evidence from Post-transformation Economies. Finance a úvěr-Czech Journal of Economics and Finance, 70(4), 373–384, IF=0.625 (download pdf)
- 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)
- FIDRMUC, J., KAPOUNEK, S., JUNGE, F. 2020. Cryptocurrency Market Efficiency: Evidence from Wavelet Analysis. Finance a úvěr-Czech Journal of Economics and Finance, 70(2), 121–144, IF=0.625 (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
New Methods in Pricing Government Debt: Uncertainty and Policy Implications, team member, Czech Science Foundation, reg. number: 22-34451S
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
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 (for MSc. students, since 2020)
Economic intuition of data transformation, capital market data processing and testing, financial time series modeling and forecasting, volatility, risk and uncertainty measuring, behavioral indicators, big data analyses in financial statements, market disequilibrium, policy impact identification
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
Portfolio 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, Credit derivatives, Options for fundraising in the capital markets, Commodities, Real estates, Private equity, Crowdfunding, ETF, Hedge funds
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)
Former
Financial Economics and Econometrics (circle for talented MSc. students and Ph.D. students), Econometrics, Public Finance, Methodology of Science, Theory of Monetary Integration, Monetary Policy and Central Banking, Financial Markets, Alternative Investments, Regulation of Financial Markets
Invited Lectures and Keynote Speeches
Keynote speech: MEME stocks and market anomalies
FinTech Roadmap, CTIT, Brno, Czech Republic, April 22, 2022
Invited presentation: Business Group Effects in the Creation and Resolution of Financial Distress
Workshop at the Austrian Institute of Economic Research (WIFO), Vienna, Austria, April 20, 2022
Roundtable debate: Inflation, Monetary Policy and the Czech economy
Czech echonomic society, Prague, Czech Republic, March 21, 2022
Roundtable debate: Recovery from the COVID-19 Recession in Visegrad Countries
International Final of the Economics Olympiad, Budapest, Hungary, November 19, 2020
Keynote speech: 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
Invited presentation: Cryptocurrency Market Efficiency: Evidence from Time-Frequency Analysis
Economic Forum, Košice, Slovakia, June 20, 2019
Keynote speech: Herding Behaviour and Information Asymmetries in Crowdfunding
5th Doctoral Symposium, Brunel University London, United Kingdom, May 1, 2019
Invited presentation: Implied Volatility Modelling and Portfolio Optimization, Alternative Investments, Efficient Market Hypothesis testing using Wavelet Analysis
University of Florence, Italy, November 8–9, 2018
Invited presentation: Alternative Investments and Portfolio Optimization
Zeppelin University in Friedrichshafen, Germany, February 23–May 5, 2018
Invited presentation: Applied research challenges and opportunities
Vilnius University, Lithuania, January 3, 2018
Invited presentation: Impact of euro adoption on export in heterogeneous Europe
Internal workshop of the National Bank of Slovakia, December 21, 2017
Keynote speech: Bayesian model averaging in meta-analysis
MAER-Net Colloquium 2017, Friedrichshafen, Germany, October 12-14, 2017
Keynote speech: Depreciation, Liquidity Shocks and Credit Crunch in CEECs
Workshop on Crisis, Economic Governance and Macroeconomic Stability in CEEC, Iasi, Romania, April 18–20, 2013
Keynote speech: Financial Econometrics – Problems and Challenges
Conference Metamorphosis of Europe: Simulations of a new Global Political Economy?, Vienna, Austria, December 12–13, 2013