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Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?

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  • Esther Jeffers
  • Damien Moyé

Abstract

[eng] Dow Jones, CAC 40 and SBF 120 : why the CAC 40 is more volatile ? . The notion that the financial markets are inherently efficient is a theory widely accepted by many researchers and professionals. It puts into question methods that seek to predict the ups and downs of financial assets. The recent volatility of the financial markets has raised this question again and raised doubts as whether the markets are able to « correctly » value the stocks they list. We therefore analyse the Dow Jones, the CAC 40 and the SBF 120 from 1993 to 2003. Four interesting conclusions may be drawn from this analysis. First, all three indexes have become more volatile since 1996. Secondly, the Dow Jones industrial average is less volatile than the French indexes used in our study. Also the indexes are closely correlated, but there is a delayed reaction. Finally, we compare the two French indexes to each other and attempt to understand why the CAC 40 is more volatile. . JEL classifications : D84, G1, G12, G14 [fre] L'hypothèse d'efficience des marchés financiers est une théorie généralement acceptée par un grand nombre d'universitaires et de praticiens. Elle met en doute la valeur des méthodes visant à prévoir le comportement des cours des actifs financiers. La volatilité constatée sur les marchés financiers a redonné une actualité certaine à ce thème et a remis en doute leur capacité à évaluer « correctement » . les actifs qui y sont cotés. Nous analysons la volatilité bimestrielle du Dow Jones, du CAC 40 et du SBF 120 entre 1993 et 2003. Quatre éléments intéressants se dégagent de cette analyse : 1 - la volatilité des . trois indices s'est amplifiée à partir de l'année 1996 ; 2 - la volatilité du Dow Jones américain est moins importante que celle des indices français retenus ici pour notre étude ; 3 - nous constatons un décalage temporel. Enfin nous nous attachons à comparer les deux marchés français et essayons de comprendre pourquoi le CAC 40 est le plus volatil. . Classification JEL : D84, G1, G12, G14

Suggested Citation

  • Esther Jeffers & Damien Moyé, 2004. "Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 203-218.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_74_1_5039
    DOI: 10.3406/ecofi.2004.5039
    Note: DOI:10.3406/ecofi.2004.5039
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    References listed on IDEAS

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    1. Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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    More about this item

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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