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The Role of Observability in Futures Markets

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Author Info
José Luis Ferreira (Universidad Carlos III de Madrid)

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Abstract

Allaz (1992) and Allaz and Vila (1993) show that in an oligopolistic industry the introduction of a futures market that operates prior to the spot market induces more competitive outcomes. Hughes and Kao (1997) show that this result presumes that firms' future positions are perfectly observed, and that when firms' positions are not observed the Cournot outcome arises. We study an alternative formulation of observability, where the behavior of participants in the futures market is explicitly analyzed, and show that this approach leads to different results. Imperfect observability induces more competitive outcomes than Allaz and Vila's model.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Topics in Theoretical Economics.

Volume (Year): 6 (2006)
Issue (Month): 1 ()
Pages: 1266-1266
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Handle: RePEc:bep:thetop:v:6:y:2006:i:1:p:1266-1266

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Related research
Keywords: futures markets observability arbitrage cournot competition

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Find related papers by JEL classification:
C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Sanford J. Grossman & Joseph E. Stiglitz, 1980. "On the Impossibility of Informationally Efficient Markets," NBER Reprints 0121, National Bureau of Economic Research, Inc.
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  2. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August. [Downloadable!] (restricted)
  3. Kohlberg, Elon & Mertens, Jean-Francois, 1986. "On the Strategic Stability of Equilibria," Econometrica, Econometric Society, vol. 54(5), pages 1003-37, September. [Downloadable!] (restricted)
  4. Ferreira, Jose Luis, 2003. "Strategic interaction between futures and spot markets," Journal of Economic Theory, Elsevier, vol. 108(1), pages 141-151, January. [Downloadable!] (restricted)
  5. Hughes, John S. & Kao, Jennifer L., 1997. "Strategic forward contracting and observability," International Journal of Industrial Organization, Elsevier, vol. 16(1), pages 121-133, November. [Downloadable!] (restricted)
  6. Matti Liski & Juan-Pablo Montero, 2005. "Forward trading and collusion in oligopoly," Working Papers 0506, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research. [Downloadable!]
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  1. Le Coq, Chloé & Orzen, Henrik, 2002. "Do Forward Markets Enhance Competition? Experimental Evidence," Working Paper Series in Economics and Finance 506, Stockholm School of Economics, revised 01 Oct 2004. [Downloadable!]
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