Relations intrajournalières entre l’indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?
AbstractThe 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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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (2002)
Issue (Month): 66 ()
Other versions of this item:
- Capelle-Blancard, G. & Vandelanoite, S., 2000. "Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?," Papiers d'Economie MathÃÂ©matique et Applications 2000.110, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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- 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.
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