Marchés dérivés et trading de volatilité

Gunther Capelle-Blancard

Revue économique, 2003, vol. 54, issue 3, 663-673

Abstract: This article investigates the implications of volatility trading on the behavior of informed traders. The major finding is that volatility traders evict directional traders from the options market. Indeed, we provide conditions under which informed-volatility trades have a positive impact on options bid-ask spread so that informed-directional traders choose the spot market. While these results do not confirm that option returns lead spot returns, they are consistent with previous empirical findings. Classification JEL : C32, G12, G14.

JEL-codes: C32 G12 G14 (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=RECO_543_0663 (application/pdf)
http://www.cairn.info/revue-economique-2003-3-page-663.htm (text/html)
free

Related works:
Working Paper: Marchés dérivés et « trading » de volatilité (2003)
Working Paper: Marchés dérivés et « trading » de volatilité (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:recosp:reco_543_0663

Access Statistics for this article

More articles in Revue économique from Presses de Sciences-Po
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().