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Aspects non linéaires du marché des actions françaises

Author

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  • Thierry Vessereau

Abstract

This paper studies the nonlinear dependences in daily returns of 40 French stocks and two indices, the Vontobel-Datastream index and the official French index CAC40. These returns are studied during a period of twenty-four years beginning January 1, 1975. The rescaled range analysis of Hurst and the Brock-Dechert-Sheinkman (BDS) test show that the assumption that the stocks and indices returns are independent and identically distributed should be rejected. The analysis of the fractal dimension by regressing the demivariogram function seems however to show that short term and long term dependences have the same characteristics. Returns are then modelized by a GARCH(1,1)-process; the analysis of the residuals by the BDS test show that most part of the dependences are no more significative. Cette étude examine l'existence de dépendances dans les séries de rendements de 40 actions françaises, ainsi que pour deux indices, l'indice Vontobel-Datastream et l'indice CAC40. L'étude porte sur une période de 24 ans commençant le 1er0101 1975. L'application de l'analyse de rang ré-échelonné de Hurst et le test de Brock-Dechert-Sheinkman (BDS) permettent de rejeter l'hypothèse que les rendements des actions et des indices sont indépendants et identiquement distribués. L'analyse de la dimension fractale par régression de la fonction demivariogramme estimée semble cependant indiquer que les dépendances à court terme et à long terme sont de même nature. Dans un deuxième temps, les rendements sont modélisés par un processus GARCH(1,1); l'analyse des résidus par le test BDS montre qu'une majeure partie des dépendances trouvées ne sont alors plus significatives.

Suggested Citation

  • Thierry Vessereau, 2000. "Aspects non linéaires du marché des actions françaises," CIRANO Working Papers 2000s-45, CIRANO.
    • Handle: RePEc:cir:cirwor:2000s-45
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    File URL: https://cirano.qc.ca/files/publications/2000s-45.pdf
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