Alexis Cellier () (Facultés Universitaires Catholiques de Mons (FUCAM), and Université de Perpignan)
Abstract
We compare the lead lag relationships with three time-deformations (clock time, transaction time and volume time) and four lengths of intervals from five to thirty minutes. According to the options we study, we use the Cox, Ross and Rubinstein (1979) pricing model to take into account the dividends and the American style of the options. For call options, we evidence a lead of the cash market. This lead diminishes when the length of the interval increases. For put options, we observe a contemporaneous relationship. Consequently, we confirm the robustness of these relationships relative to the hypothesis on the information flow. However, as the length increases the relation becomes contemporaneous. Thus, this relation is short term but is strong enough to affect a longer interval. Moreover, we must use several lengths to actually estimate the duration of this relationship.
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