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Relations intrajournalières entre l’indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?

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Author Info

  • Gunther CAPELLE-BLANCARD
  • Séverine VANDELANOITE

Abstract

The aim of this paper is to examine Granger linear and non-linear causality between CAC 40 index and European CAC 40 index options for 1997 and 1998. Our results indicate overall that cash index leads index options by 20 to 30 minutes. Market microstructure differences induce relatively infrequent trading in options market and consequently cause stock to lead. We find also a significant bi-directional causality between the two markets, revealing the activity of arbitrageurs.

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File URL: http://www.jstor.org/stable/20076332
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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2002)
Issue (Month): 66 ()
Pages: 143-177

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Handle: RePEc:adr:anecst:y:2002:i:66:p:07

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Cited by:
  1. Cumhur Ekinci, 2003. "A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange," Finance 0305006, EconWPA, revised 20 May 2004.
  2. Tekaya, Rim & Jouaber, Kaouther, 2010. "Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks," Economics Papers from University Paris Dauphine 123456789/5069, Paris Dauphine University.

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