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Lead lag relatîonships between short term options and the french stock index cac 40: the impact of time measurement

Listed author(s):
  • Alexis Cellier
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    Nous comparons les relations de domination temporelles avec trois déformations temporelles (les temps :horloge, transaction et volume) et quatre longueurs d’intervalles de cinq à trente minutes. En accord avec les options étudiées, nous employons le modèle de valorisation de Cox, Ross et Rubinstein (1979) pour tenir compte des dividendes et de la nature américaine de ces options. Pour les options d'achat, nous démontrons une avance du marché comptant ;cette domination diminue lorsqu’on augmente la longueur de l'intervalle. Pour les options de vente, nous observons une relation contemporaine entre les marchés. En conséquence, nous confirmons la robustesse des relations quant à l'hypothèse sur le flux informationnel. Cependant, lorsque la longueur augmente la relation devient contemporaine. Aussi, cette relation est de court terme mais assez forte pour affecter un intervalle plus long. Il est donc indispensable d’utiliser plusieurs longueurs pour estimer la durée réelle de ces relations.

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    Article provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.

    Volume (Year): 46 (2003)
    Issue (Month): 2 ()
    Pages: 65-82

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    Handle: RePEc:bxr:bxrceb:y:2003:v:46:i:2:p:65-82
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