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Marchés dérivés et « trading » de volatilité

Author

Listed:
  • Gunther Capelle-Blancard

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

This article investigates the implications of volatility trading on the behavior of informed traders. The main finding is that volatility traders evict directional traders from the option markets. Indeed, we provide conditions under which informed-volatility trades have a positive impact on option market bid-ask spread so that informed-directional traders choose the equity market. While these results do not confirm that option returns lead stock returns, they are consistent with previous empirical findings.

Suggested Citation

  • Gunther Capelle-Blancard, 2003. "Marchés dérivés et « trading » de volatilité," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00265674, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00265674
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    Cited by:

    1. Gunther Capelle-Blancard, 2010. "Are derivatives dangerous?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00605908, HAL.
    2. Gunther Capelle-Blancard, 2010. "Are Derivatives Dangerous? A Literature Survey," International Economics, CEPII research center, issue 123, pages 67-89.
    3. repec:dau:papers:123456789/5069 is not listed on IDEAS

    More about this item

    Keywords

    Microstructure; Option; Produit dérivé;
    All these keywords.

    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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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