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1

The Concept of Black and Scholes Model and the Analysis of WIG20 Implied Volatility

100%
Koronkiewicz G.
Optimum. Studia Ekonomiczne
|
2012
|
issue 5(59)
30-47
EN
The purpose of this article is to present the concept of Black and Scholes option pric-ing formula, with special emphasis on the three key economic and mathematical ideas that made it possible to develop the framework. An additional aim is to conduct an analysis of the WIG20 index implied volatility in order to determine whether the polish financial options market functions accordingly to the assumptions of Black and Scholes model or rather in a way that has been observed on a bigger, more liquid derivatives market. The article describes the classical way of deriving the Black and Scholes partial differential equation and presents some possible applications of the Black Scholes model outside of straightforward option pricing. In the empirical part of the article, an estimation of WIG20 index implied volatility for a three - year period ranging from 2009 to 2011 is conducted based on the daily quotes of options, futures and the index itself. The results suggest that WIG20 implied volatility follows patterns observed on other markets, what indicates that the assumptions of the model are not fully met on the Warsaw Stock Exchange.
2

Stock Market Reactions to the Announcements and Executions of Stock-Splits and Reverse Stock-Splits

63%
Jamróz P., Koronkiewicz G.
Optimum. Studia Ekonomiczne
|
2013
|
issue 5(65)
34-50
EN
The aim of this paper is to analyze the stock market investors reactions to the events of announcement and execution of stock-splits and reverse stock-splits carried out on Warsaw Stock Exchange (WSE) during the period 2004-2012. The study puts the emphasis on the differences between market reactions to standard stocksplits and reverse stock-splits. The results presented in this paper are based on the methodology of event study. The studied data sample consists of 45 instances of stock-splits and 6 instances of reverse stock-splits that took place on WSE in the specified period of time. Results obtained suggest no statistically significant reaction to the events of: split announcement, split execution and reverse split execution and a statistically significant (mostly negative) reaction to the event of reverse split announcement. Although some anomalies can be observed on close inspection of the data, in general the obtained results can be interpreted as evidence of investors' rationality with regards to events connected with stock-splits on the WSE.
3

The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets

63%
Jamróz P., Koronkiewicz G.
Studies in Logic, Grammar and Rhetoric
|
2014
|
vol. 37
|
issue 1
71-88
EN
The aim of this paper is to analyze the occurrence of the so called day of the week effects in market return time series from the period of January 2003 to September 2013 (and additionally January 1999 to December 2002). The study focuses on four indices of the Warsaw Stock Exchange (WIG, WIG20, mWIG40 and sWIG80) and additionally five indices of major world stock exchanges (NIKKEI 225, DAX, CAC40, S&P 500, and IBEX). The main data sample was divided into three subperiods in order to determine whether or not the intensity of day of the week anomalies is constant in time. The study revealed a substantial number of the day of the week anomalies in earliest subperiods and very limited evidence of those effects in later ones, giving rise to the conclusion that the intensity of the day of the week anomalies is diminishing with time. The most common effect identified on the WSE was a positive Friday effect. The Monday effect often described in early literature on the subject matter seems to currently occur very rarely. The study also indicates that the day of the week effects were more persistent among stocks with smaller market capitalization on the WSE.
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