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Relations intrajournalières entre l'indice CAC 40 et les options sur indice. Quel est le marché préféré des investisseurs informés ?

Author

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  • Gunther Capelle-Blancard

    (TEAM - Université Paris 1, CNRS)

  • Severine Vandelanoite

    (TEAM - Université Paris 1, CNRS)

Abstract

The aim of this paper is to examine Granger linear and non-linear causality between CAC 40 index and European CAC 40 index option for 1997 and 1998. Our results indicate overall that cash index leads index options by 20 to 30 minutes. Market microstructure differences induce relatively infrequent trading in option market and consequently cause stock to lead. We find also a significant bi-directional causality between the two markets, revealing the activity of arbitrageurs

Suggested Citation

  • Gunther Capelle-Blancard & Severine Vandelanoite, 2000. "Relations intrajournalières entre l'indice CAC 40 et les options sur indice. Quel est le marché préféré des investisseurs informés ?," Cahiers de la Maison des Sciences Economiques bla00110, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:mse:wpsorb:bla00110
    DOI: 10.2307/20076332
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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, University Library of Munich, Germany, revised 22 Nov 2004.
    2. repec:dau:papers:123456789/5069 is not listed on IDEAS

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    More about this item

    Keywords

    Tranmission of information; Options Market; Linear and Non-Linear causality;
    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
    • 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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