Even if participants all have perfect information, I feel like you're forgetting something fundamental to instruments, at least primary instruments. If I buy an instrument, I'm expecting returns, I don't buy primarily to speculate, but to gain returns, which can be fixed or variable. So for say a sovereign state with little credit risk, why do funds but the state's government bonds? Because there is contractual income to gain. There will always be someone wanting to sell and let go off that income, because for most people money is an utility that is accumulated to be used. On the other side, even in a perfect market, there will always be someone who has received the money from the spender, and wants to get income from that instrument.

Or is there something I'm missing?