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Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?


Author Info

  • Capelle-Blancard, G.
  • Vandelanoite, S.


L'objet de cet article est de tester la presence de causalite lineaire et non-lineaire au sens de Granger entre l'indice CAC 40 et les options sur indice en 1997 et 1998. Nos resultats indiquent que le marche au comptant precede le marche des options de 20 a 30 minutes, signe que le MONEP n'est pas domine par la presence d'investisseurs informes. Nous trouvons egalement des interactions non-lineaires significatives entre les marches, revelatrices de l'activite des arbitragistes.

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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Papiers d'Economie Mathématique et Applications with number 2000.110.

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Length: 28 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:pariem:2000.110

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Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
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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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