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

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Author Info
Capelle-Blancard, G.
Vandelanoite, S.

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Abstract

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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Publisher 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
Web page: http://cermsem.univ-paris1.fr/
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Related research
Keywords: INFORMATION ; INVESTISSEMENTS ; MARCHE FINANCIER;

Other versions of this item:

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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  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. [Downloadable!]
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This page was last updated on 2009-12-16.

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