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Assurance et couverture de portefeuille, volatilité des prix et stabilité des marchés financiers : les enseignements de trois modèles théoriques

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  • Roland Portait
  • Patricia Charlety-Lepers

Abstract

[fre] Assurance et couverture de portefeuille, volatilité des prix et stabilité des marchés financiers. Les enseignements de trois modèles théoriques. . À la suite du krach boursier de 1987, les marchés dérivés, alimentés en particulier par les stratégies d'assurance de portefeuille, ont été souvent mis en cause. L'objet de cet article est d'analyser et de tirer les enseignements de trois modèles théoriques publiés récemment relatifs à l'influence des stratégies d'assurance de portefeuille sur la volatilité des prix et la stabilité des marchés.. Le message de ces modèles est le suivant : si l'adoption de stratégies d'assurance de portefeuille est de nature à augmenter la volatilité des prix, c'est essentiellement l'imperfection de l'information conduisant à une interprétation erronée des variations de cours qui peut expliquer un effet déstabilisant pouvant aller jusqu'au krach boursier. [eng] Portfolio insurance, price volatility and market stability : lessons from three theorical models. . Following the 1987 financial crash, portfolio insurance and the use of derivati­ves has been associated with financial market instabilities. The aim of this article is to present the hypotheses and the conclusions of three recently published theoretical models dealing with the influence of portfolio insurance on market stability.. To summarise their results, the authors show that if portfolio insurance increases price volatility, it cannot per se explain large price movements as observed during crashes. On the other hand, imperfect information plays a crucial role : an erroneous interpretation of the origin of price movements may in extreme cases lead to such phenomena as market crashes.

Suggested Citation

  • Roland Portait & Patricia Charlety-Lepers, 1997. "Assurance et couverture de portefeuille, volatilité des prix et stabilité des marchés financiers : les enseignements de trois modèles théoriques," Revue Économique, Programme National Persée, vol. 48(4), pages 853-868.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1997_num_48_4_409919
    DOI: 10.3406/reco.1997.409919
    Note: DOI:10.3406/reco.1997.409919
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    References listed on IDEAS

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