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Impact des interruptions de cotation sur la microstructure du marché boursier français

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  • Karine Michalon

Abstract

[fre] Les interruptions de cotation réglementées d'Euronext Paris et de toutes les autres places boursières ont pour but de réduire les asymétries d'information et la volatilité et de permettre l'émergence d'un consensus. L'usage de ces interruptions est très fréquent sur le marché boursier français des valeurs qui composent le CAC 40, le SBF 120 et le SBF 250 : on constate en moyenne plus de 7 interruptions par séance. La fréquence est d'autant plus élevée que les valeurs ont de faibles capitalisations boursières. Pourtant notre étude empirique fait ressortir une inefficacité des réservations de cotation. En effet, la volatilité des cours est plus élevée après réservation. . Classification JEL : C2, G1 [eng] Impact of trading-halts on the microstructure French stock exchange market . The purpose of the regulated trading-halts on Stock exchange markets is to reduce asymmetries of information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the French stock exchange market for the values included in the CAC 40, the SBF 120 and the SBF 250 indexes : one notes on average more than 7 interruptions per trading day. The frequency is all the more high as the values have weak market capitalizations. However, our empirical study emphasizes an inefficiency of the reservations of quotation. Indeed, the volatility of the prices is higher after reservation. . JEL classification : C2, G1

Suggested Citation

  • Karine Michalon, 2003. "Impact des interruptions de cotation sur la microstructure du marché boursier français," Revue d'Économie Financière, Programme National Persée, vol. 70(1), pages 253-259.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2003_num_70_1_4838
    DOI: 10.3406/ecofi.2003.4838
    Note: DOI:10.3406/ecofi.2003.4838
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    1. James Dow & Gary Gorton, "undated". "Self-Generating Trade and Rational Fads: The Response of Price to New Information," Rodney L. White Center for Financial Research Working Papers 03-90, Wharton School Rodney L. White Center for Financial Research.
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    More about this item

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G1 - Financial Economics - - General Financial Markets
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G1 - Financial Economics - - General Financial Markets

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