Advanced Search
MyIDEAS: Login to save this article or follow this journal

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


Author Info



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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

Bibliographic Info

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

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

as in new window
Handle: RePEc:adr:anecst:y:2002:i:66:p:07

Contact details of provider:
Postal: 3, avenue Pierre Larousse, 92245 Malakoff Cedex
Web page:
More information through EDIRC

Related research


Other versions of this item:

Find related papers by JEL classification:


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

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, EconWPA 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, Paris Dauphine University 123456789/5069, Paris Dauphine University.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:2002:i:66:p:07. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Robert Gary-Bobo).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.