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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
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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 

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References

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