Empirická analýza obchodování s opcemi na akcie Škodových závodů 1928-1938

An Empirical Analysis of Škoda Co. Equity Options Trading 1928-1938

Jan Vlachý

Politická ekonomie, 2014, vol. 2014, issue 5, 645-661

Abstract: Recent findings have shown that the Prague Exchange featured a very active and developed stock options market right until its pre-war closure in September 1938. This paper follows up on extensive research into fragmentary archival resources, aggregating a unique collection of options quotations on the shares of Škoda, the dominant industrial firm and stock in Czechoslovakia. A rigorous review of contemporary literature has been complemented with an empirical analysis including implied volatility measurements, resulting in a detailed appraisal of the market. Even though statistical option-valuation models have already been available and generally known, these were not used by practitioners. Instead, a heuristic approach based on perfect familiarity with intrinsic valuation and hedging as well as time-value drivers, effectively used since the 19th century, has resulted in surprisingly efficient pricing, constrained - rather than by information assymmetries - primarily by transaction costs and, over a relatively brief period in 1932-33, by crisis-related liquidity issues in the market.

Keywords: Prague exchange; financial history; option trading; implied volatility (search for similar items in EconPapers)
JEL-codes: B16 G13 N24 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.18267/j.polek.974

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