The French Futures Bonds Market: Efficiency and Causality (In French)

41 Pages Posted: 7 Jan 2011

Date Written: October 1, 1994

Abstract

The main topic of this paper is about the overall functionnning of the french futures bonds market. Three mains questions are asked: (1) Is the futures market inefficient? (2) Is there any free lunch between the future market and the spot market? (3) Does one of these markets play a leader role? Econometric tests give globally an negative answer to all these three questions. The arbitrage's opportunities which have been detected in the period 86.12-90.06 can be explained by the restrictions to sell-short bonds in the french cash market. The two tests on the rationality of the expectations which have been undertaken (a times series test and a panel data test) yield the same conclusion : one cannot reject the assumption that the market is efficient. Finally, tests of causality between the future market and the cash market on daily data shows strong instantaneous correlation between them. Concerning delayed causality, the future market have played a leader role during the period 90.01-93.06 during which one has observed an overall stability of the futures prices.

Note: Downloadable document is in French.

Keywords: Futures markets, Efficiency, Causality

JEL Classification: O24, O26

Suggested Citation

bensaid, bernard and Boutillier, Michel, The French Futures Bonds Market: Efficiency and Causality (In French) (October 1, 1994). Banque de France Working Paper No. 44, Available at SSRN: https://ssrn.com/abstract=1734768 or http://dx.doi.org/10.2139/ssrn.1734768

Bernard Bensaid (Contact Author)

Banque de France ( email )

Paris
France

Michel Boutillier

Banque de France ( email )

Paris
France

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