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Création d'un marché à terme, nature des imperfections financières et stabilité du prix au comptant

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  • Patrick Artus

Abstract

[eng] The effect on the volatility of spot prices of the creation of a futures market is ambiguous, as the theoretical and empirical literature adressing that issue indica­tes. We show here that this effect can crucially depend on the nature of financial imperfections the investors are facing, and which impede some of them from taking the speculative position they would like when there is no futures market. [fre] L'effet sur la volatilité du prix au comptant de la création d'un marché à terme est ambigu, comme l'indique la littérature théorique et empirique sur ce sujet. Nous montrons ici que cet effet peut dépendre crucialement de la nature des imperfections financières qui affectent les investisseurs, et empêchent que cer­tains d'entre eux prennent la position spéculative qu'ils désirent lorsqu'il n'y a pas de marché à terme.

Suggested Citation

  • Patrick Artus, 1996. "Création d'un marché à terme, nature des imperfections financières et stabilité du prix au comptant," Revue Économique, Programme National Persée, vol. 47(5), pages 1043-1062.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1996_num_47_5_409837
    DOI: 10.3406/reco.1996.409837
    Note: DOI:10.3406/reco.1996.409837
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    References listed on IDEAS

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    1. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-298, July.
    2. Brennan, Michael J & Schwartz, Eduardo S, 1989. "Portfolio Insurance and Financial Market Equilibrium," The Journal of Business, University of Chicago Press, vol. 62(4), pages 455-472, October.
    3. Gilbert, Christopher L, 1985. "Futures Trading and the Welfare Evaluation of Commodity Price Stabilisation," Economic Journal, Royal Economic Society, vol. 95(379), pages 637-661, September.
    4. Newbery, David M, 1987. "When Do Futures Destabilize Spot Prices?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 291-297, June.
    5. Hart, Oliver D & Kreps, David M, 1986. "Price Destabilizing Speculation," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 927-952, October.
    6. Stéphane Gregoir & Bernard Salanie, 1991. "Spéculation, prix et bien être," Annals of Economics and Statistics, GENES, issue 24, pages 209-246.
    7. Stein, Jeremy C, 1987. "Informational Externalities and Welfare-Reducing Speculation," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1123-1145, December.
    8. Gennotte, Gerard & Leland, Hayne, 1990. "Market Liquidity, Hedging, and Crashes," American Economic Review, American Economic Association, vol. 80(5), pages 999-1021, December.
    9. Kawai, Masahiro, 1983. "Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(2), pages 435-459, June.
    10. Turnovsky, Stephen J & Campbell, Robert B, 1985. "The Stabilizing and Welfare Properties of Futures Markets: A Simulation Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 277-303, June.
    11. Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-1387, September.
    12. Fischer Black, 1988. "An Equilibrium Model of the Crash," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 269-276, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Gunther Capelle-Blancard & Séverine Vandelanoite, 2000. "Intraday relations between CAC 40 cash index and CAC 40 index options [Relations intrajournalières entre l'indice CAC 40 et les options sur indice. Quel est le marché préféré des investisseurs info," Post-Print halshs-03727911, HAL.
    2. Gunther Capelle-Blancard & Séverine Vandelanoite, 2002. "Relations intrajournalières entre l'indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?," Annals of Economics and Statistics, GENES, issue 66, pages 143-177.

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