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Sources d'inefficience et ajustement asymétrique des cours boursiers

Author

Listed:
  • Mohamed El Hedi Arouri

    (LEO - Laboratoire d'Économie d'Orleans [FRE2014] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique, EDHEC - EDHEC Business School - UCL - Université catholique de Lille)

  • Fredj Jawadi

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, Amiens School of Management - Amiens School of Management, UEVE - Université d'Évry-Val-d'Essonne)

Abstract

Cet article étudie la dynamique d'ajustement des cours boursiers de quatre pays développés (Allemagne, France, Grande-Bretagne et Japon) dans un cadre non linéaire. La non-linéarité est introduite pour reproduire l'ajustement des cours boursiers en présence de frictions du marché, d'effets de contagion et d'interdépendance. L'utilisation de modèles non linéaires à transition lisse de type exponentiel : ESTECM (Exponential Switching Transition Error Correction Models) et ESTARM (Exponential Smooth Transition Autoregressive Models) a permis de reproduire la persistance caractérisant les dynamiques boursières. En effet, outre les effets de contagion assez significatifs capturés par ces modèles, l'ajustement des cours s'avère persistant, non linéaire et actif par régime avec un retour à l'équilibre dont la vitesse de convergence varie avec l'ampleur des déviations des cours par rapport à cet équilibre.

Suggested Citation

  • Mohamed El Hedi Arouri & Fredj Jawadi, 2012. "Sources d'inefficience et ajustement asymétrique des cours boursiers," Post-Print hal-01410570, HAL.
    • Handle: RePEc:hal:journl:hal-01410570
    DOI: 10.3917/rsg.258.0025
    as

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