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


  • 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.

Suggested Citation

  • 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 Mathématique et Applications 2000.110, Université Panthéon-Sorbonne (Paris 1).
  • Handle: RePEc:fth:pariem:2000.110

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    References listed on IDEAS

    1. Eric Jondeau, 1992. "La soutenabilité de la politique budgétaire," Économie et Prévision, Programme National Persée, vol. 104(3), pages 1-17.
    2. MARCHAND, M. & MICHEL, Ph. & PESTIEAU, P., 1990. "Optimal intergenerational transfers in a growth model with fertility and productivity changes," CORE Discussion Papers 1990059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Bertrand Crettez & Philippe Michel & Bertrand Wigniolle, 2002. "Debt Neutrality and the Infinite-Lived Representative Consumer," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 4(4), pages 499-521, October.
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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 22 Nov 2004.

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • 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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