Politická ekonomie
Politická ekonomie
Politická ekonomie
TEORETICKÝ ČASOPIS • ISSN 0032-3233 (Print) • ISSN 2336-8225 (Online)

Politická ekonomie Vol. 62 No. 5

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

DOI: https://doi.org/10.18267/j.polek.974

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Jan Vlachý

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.

JEL klasifikace: B16, G13, N24