Intraday relations between CAC 40 cash index and CAC 40 index options

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
Additional contact information
Séverine Vandelanoite: TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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

Keywords: tranmission of information; options Market; Linear and Non-Linear causality; transmission d'information; marchés dérivés; causalité linéaire et non linéaire (search for similar items in EconPapers)
Date: 2000-11
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03727911
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 2000

Downloads: (external link)
https://shs.hal.science/halshs-03727911/document (application/pdf)

Related works:
Working Paper: Intraday relations between CAC 40 cash index and CAC 40 index options (2000)
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:hal:cesptp:halshs-03727911

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().