Hostname: page-component-78c5997874-v9fdk Total loading time: 0 Render date: 2024-11-05T12:43:26.640Z Has data issue: false hasContentIssue false
  • English
  • Français

La création d'un marché à terme peut-elle êe déabilisante? L'effet de la qualité des arbitrages et du mode de formation des anticipations

Published online by Cambridge University Press:  17 August 2016

Patrick Artus
Patrick Artus*
Affiliation:
Banque de France
Get access

Résumé

La littérature théorique existante montre que, si les anticipations des spéculateurs sont rationnelles, la création d’un marché à terme a une influence stabilisante sur le prix au comptant.

On peut cependant se demander si certaines caractéristiques du comportement des opérateurs sur les marchés (utilisation de techniques automatiques pour décider du niveau des positions, prise en compte du cours à terme affiché pour former les anticipations, non-rationalité des anticipations, imperfection des arbitrages), ne peuvent pas entraîner au contraire une déstabilisation des cours en cas d'une telle création.

On se propose ici d’examiner, dans le cadre d’un modèle théorique simple, les conséquences de tels comportements non rationnels, ainsi que la possibilité qu’ils soient durables si les intervenants apprennent progressivement le fonctionnement effectif du marché.

Summary

Summary

The theoretical literature shows that, if speculator's expectations are rational, opening a futures market stabilizes the spot price. It has been argued that some features of the behaviour of market participants (program trading, irrational expectations, imperfect arbitrage) could on the contrary lead to a destabilization of spot prices when a futures market is introduced. In this article, the consequenses of such market imperfections, and the possibility for them not to be only transitory if market participants learn the actual funtionning of the market, are analyzed using a simple theoretical model.

Keywords

311313311313
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 54 , Issue 4 , 1988 , pp. 385 - 408
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1988 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

BIBLIOGRAPHIE

Artus, P. et Voisin, P. (1986), The stabilizing properties and the efficiency of a financial futures market : Theoretical analysis and application to the Paris MATIF, Communication à la conférence IFCI sur les marchés à terme, Genève, Novembre.Google Scholar
Artus, P. (1987), Marché à terme, options et stabilité du marché au comptant de taux d’intérêt, Finance, Décembre, pp. 25–54.Google Scholar
Artus, P., Boyer, et Bourely, (1987), The functioning of a financial futures market with diverse speculators : theoretical analysis and application to the Patis MATIF, Banque de France, Mimeo.Google Scholar
Artus, P. et Voisin, P. (1987), Le MATIF est-il un marché efficace?, Banque, Mars.Google Scholar
Bhattacharya, A., Ramjee, A. et Ramjee, B. (1986), The causal relationship between futures price volatility and the cash price volatility of GNMA securities, Journal of Futures Markets, Printemps, pp. 30–39.Google Scholar
Cox, C. (1976), Futures trading and market information, Journal of Political Economy, Décembre, pp. 1215–1237.Google Scholar
Figlewski, S. (1981), Futures trading and volatility in the GNMA market, Journal of Finance, 36, pp. 445–456.Google Scholar
French, K. (1983), A comparison of futures and forward prices, Journal of Financial Economics, Novembre, pp. 319–388.Google Scholar
Froewiss, K. (1978), GNMA futures : stabilizing or destabilizing, Federal Reserve Bank of San Francisco Economic Review, Printemps, pp. 20–29.Google Scholar
Gilbert, C. (1985), Futures trading and the welfare evalueation of commodity price stabilization, Economic Journal, Septembre, pp. 637–660.Google Scholar
Grossman, S. (1987), An analysis of the implications for stock and future price volatility of program trading and dynamic hedging strategies, Columbia Business School Center for the Study of Futures Markets, Working Paper N° 158.Google Scholar
Hart, O. et Kreps, D. (1986), Price destabilizing speculation, Journal of Political Economy, Octobre, pp. 927–952.Google Scholar
Kawai, M. (1983), Price volatility of storable commodities under rational expectations in spot and futures markets, International Economic Review, Vol. 24, pp. 43–54.Google Scholar
Mc Cafferty, S. et Driskill, Fr. (1980), Problems of existence and uniqueness in non linear rational expectations models, Econometrica, 48, pp. 1313–1317.Google Scholar
Newbery, D. (1987), When do futures destabilize spot prices ?, International Economic Review, Juin, pp. 291–298.Google Scholar
Obstfeld, M. (1985), Floating exchange rates : experience and prospects, Brookings Paper on Economic Activities, N° 2, pp. 369–464.Google Scholar
Peck, A. (1976), Future markets, supply response and price stability, Quarterly Journal of Economics, Août, pp. 467–523.Google Scholar
Poterba, J. et Summers, L. (1984), The persistence of volatility and stock market fluctuations, Discussion paper N° 1092, Harvard Institute of Economic Research, Octobre.Google Scholar
Simpson, W. et Ireland, T. (1985), The impact of financial futures on the cash market for treasury bills, Journal of Financial and Quantitative Analysis, Vol 30, N°3, pp. 371–379.Google Scholar
Stoll, H. (1987), Index futures, program trading and stock market procedures, Columbia Business School Center for the Study of Futures Markets, Working Paper N° 160.Google Scholar
Stoll, H. et Whaley, R. (1987), Program trading and expiration day effects, Financial Analyst Journal, Mars-Avril, pp. 16–28.Google Scholar
Turnovsky, S. (1979), Futures markets, private storage and price stabilization, Journal of Public Economics, Vol. 12, pp. 301–327.Google Scholar
Turnovsky, S. (1983), The determination of spot and futures prices of storable commodities, Econometrica, Septembre, pp. 1363–1387.Google Scholar
Turnovsky, S. et Campbell, R. (1985), The stabilizing and welfare properties of futures markets : A simulation approach, International Economic Review, Juin, pp. 277–303.Google Scholar
Walsh, C. (1984), Interest rate volatility and monetary policy, Journal of Money, Credit and Banking, Mars, pp. 100–150.Google Scholar
Weller, P. et Yano, M. (1987), Forward exchange, futures trading and spot price variability : A general equilibrium approach, Econometrica, Novembre, pp. 1433–1450.Google Scholar