Marchés dérivés et volatilité des actifs sous-jacents : analyse économique et application au marché financier français

Abstract : The influence of derivative markets on the volatility of the underlying claims can be viewed with a theory or empirical approach. A first theoretical approach is based on the efficiency theory. It concludes to a stabilizing influence of the future markets if the two other theoretical functions of the future markets are realized, i. e. the diffusion of information with the publication of the future prices and the transfer of the risk to the agents who accept to support it. A second theoretical approach concludes to a destabilizing influence when the efficiency is rejected. This rejection can take two forms: first, the hypothesis of the efficiency model can be rejected, because of asymmetric or imperfect information. Secondly, the efficiency can be rejected ex post, because of the adoption of destabilizing behavior like mimetism or short horizon by the participants on the markets. The empirical approach is based on a model which multiplies the indexes of the stabilizing or destabilizing influence. So the study of interactions between the prices of the two markets, in an error correction model, allows us to analyses the informational effect of the derivative market and its correction effect on the spot market. These two elements, if they are significative, indicate a stabilizing influence. In an other hand, the study of the interactions of the volatility of the two markets indicates the presence of a propagation of instability of the future markets on the spot market. The application of this model to the CAC 40 contract has showed its stabilizing influence in general and even in a period of financial crisis. On the contrary, the notional future contract is showed to have a destabilizing influence on the underlying market, both in general and in a period of financial crisis.
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http://docnum.univ-lorraine.fr/prive/BUD_T_1998_0014_MICHEL.pdf
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Lydie Michel. Marchés dérivés et volatilité des actifs sous-jacents : analyse économique et application au marché financier français. Economies et finances. Université Nancy 2, 1998. Français. ⟨NNT : 1998NAN20014⟩. ⟨tel-01776993⟩

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