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

Gunther CAPELLE-BLANCARD () and Séverine VANDELANOITE

Annales d'Economie et de Statistique, 2002, issue 66, pages 143-177

Abstract: The aim of this paper is to examine Granger linear and non-linear causality between CAC 40 index and European CAC 40 index options 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 options market and consequently cause stock to lead. We find also a significant bi-directional causality between the two markets, revealing the activity of arbitrageurs.

Date: 2002
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Working Paper: Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ? (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:adr:anecst:y:2002:i:66:p:07

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