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

Patrick Artus

Revue Économique, 1996, vol. 47, issue 5, 1043-1062

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.

Date: 1996
Note: DOI:10.3406/reco.1996.409837
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Citations: View citations in EconPapers (3)

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