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Pokles cen akcií v ex-dividend den a efektivnost trhů s akciovými opcemi
Křížek, Tomáš ; Dvořák, Petr (advisor) ; Stádník, Bohumil (referee) ; Svoboda, Martin (referee)
This paper analyses options/warrants price behavior around an ex-dividend day of underlying shares. Both equity options as financial instruments traded on options exchanges, and warrants/certificates as OTC financial instruments are analyzed. First, the paper analyzes the ex-dividend day share price drop. Findings of this part are further used to analyze the impact of unexpected share price decline on options prices. Further, the paper focuses on volumes of traded options contracts and changes in options prices around the ex-dividend day. The paper focuses on European shares and related options and warrants. The options data was collected from the options exchange EUREX and also from several OTC sources -- Vontobel, Lang & Schwarz, Erste, and xMarkets by Deutsche Börse. The main aim of the paper is to identify market inefficiencies in trading in and valuation of equity options. There are two main conclusions that around the ex-dividend day there is a significantly increased trading activity and the call options depreciate whereas put options appreciate between the cum-dividend and the ex-dividend day. This shows insufficient implementation of the share price drops into options valuation models of options dealers or investors / speculators. Further an impact of unexpected share price behavior was analyzed but no particular pattern has been identified. The impact of the unexpected share price drop (either too high or too low) has ambiguous implications on the options prices. Finally, ways how to utilize on knowledge of inefficient trading in options around the ex-dividend day were suggested. The suggestions were done both from the perspective of an investor / speculator and of an options dealer.
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Analysis of the stock price behaviour around ex-dividend day
Kučera, Martin ; Křížek, Tomáš (advisor) ; Kolman, Marek (referee)
This diploma thesis deals with analysis of the stock price behavior around ex-dividend day, focusing on the European capital market. The theoretic part is aimed at summarizing of hypotheses and effects affecting the amount of the stock price in comparison with an amount of dividend during last 50 years. In the practical part, there is firstly described a methodology of testing, later the 3 main hypotheses are determined, that are finally tested on a sample of 220 European companies listed on twelve stock exchanges, including the Prague stock exchange. The aim will be to determine the validity of hypotheses on the sample as a whole as well as on some selected stock exchanges in the period between 2006 and 2010, the influence of the payment of dividend on share price, but also the potential impact of financial crisis. Furthermore, the possibility of arbitrage opportunities will be evaluated, which could be incurred on some stock exchanges or individual shares, as well as stability, efficiency and predictability of individual capital markets.
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