Stock Index Futures Dynamics : Evidence from France

This paper studies the French stock index futures market using autoregressive conditional durations (ACD) models. Indeed, these models suggest that the inter-trades durations convey information about the trading intensity of the market. We use a basic ACD to study the volatility concentration and to test the role of the information asymmetry in the trading intensity. The results show strong temporal dependencies and the negligible effect of the information asymmetry in the volatility process. The use of ACD-GARCH model which better accounts for the information driven by the price
process confirms the results.
Keywords: ACD Models, Market microstructure, Information asymmetry.
JEL Classification: G10, C22.