Impact of the Introduction of Options on the Dynamics and Informational Efficiency of Support Markets: The Case of French Stocks Listed on Euronext-Liffe.

Summary In this thesis, we analyze the contribution of the options market to the informational efficiency and stability of the French equity market listed on Euronext-LIFFE for the period 1996-2006, and we propose to define to what extent the merger of Euronext with Liffe in 2002 and the macroeconomic conditions of 1996-2006 influence this contribution.The study of the introduction of options on the characteristics of stocks reveals (i) the absence of impact on both volatility and systematic risk of stocks measured by beta, (ii) a negative price effect that remains statistically insignificant in the majority of sessions, (iii) a significant increase in volume, (iv) a decrease in the price range The VAR modeling shows that the introduction of the option strengthens the adjustment of volume to stock volatility significantly only at the 10% threshold. Furthermore, the proportion of informed agents in the stock market is not higher following the introduction of options.The Log-ACD (Autoregressive Conditionnal Duration) modeling augmented by the introduction of liquidity as an explanatory variable does not detect any effect of the introduction of the option on the informational reinforcement of stocks.Furthermore, our study highlights that the objective of the options market is hedging (respectively speculation and/or arbitrage) in periods of high (respectively low) volatility. The merger of Euronext with Liffe in 2002 does not introduce any significant change in the improvement of the process of price adjustment to news. The overall result of the lack of effect of the introduction of the stock option is explained by the current volatility-based trading in France. This reduces the predictive power of options.