Investor Behaviour Heterogeneity in the Options Market: Chartists vs. Fundamentalists in the French Market

Journal of Economics and Business

ISSN 2615-3726 (Online)

ISSN 2621-5667 (Print)

Published: 12 June 2020

Investor Behaviour Heterogeneity in the Options Market: Chartists vs. Fundamentalists in the French Market

Nahla Boutouria, Salah Ben Hamad, Imed Medhioub

University of Sfax (Tunisia), Imam Muhammad Ibn Saud Islamic University (Saudi Arabia)

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Pages: 917-923

Keywords: Behavioural Heterogeneity, Behavioural Finance, Fundamentalists and Chartists, Options Market, Black and Scholes, Implied Volatility, Two-State Markov Switching Model


Behavioural finance confirmed the existence of two types of agents, fundamentalists and chartists, in the financial market. Fundamentalists follow the traditional efficiency market theory based on adaptive learning rule, whereas chartists follow the price tendency and past price movements. This paper examines the heterogeneity between fundamentalists and chartists. To this aim, we propose to introduce a sentiment variable in the classic model of Black and Scholes (1973) and to extract in a novel way the implied volatility variable. After that, we estimate the Markov switching model on this variable to test heterogeneity in the French market. The estimated daily data from 2009 to 2018 for 30 companies daily of CAC40 in a sectoral analysis confirm the evidence of heterogeneity between chartists and fundamentalists.


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