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

Gunther Capelle-Blancard and Severine Vandelanoite
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Severine Vandelanoite: TEAM - Université Paris 1, CNRS

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

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 (search for similar items in EconPapers)
JEL-codes: C32 G13 G14 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2000-11
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Published in Annales d'Économie et de Statistique, 66, 2002, pp. 143-177

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https://doi.org/10.2307/20076332
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Related works:
Journal Article: Relations intrajournalières entre l'indice CAC 40 et les options sur indice: Quel est le marché préféré des investisseurs informés ? (2002)
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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