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La crise des dettes souveraines: contagions ou interdépendances des principaux indices de la zone euro?

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  • Rachida Hennani
  • Michel Terraza

Abstract

Les évènements récents qui ont successivement secoué les marchés financiers européens suggèrent des phénomènes d’interdépendance entre les indices boursiers. Les relations susceptibles d’exister entre ces différents pays peuvent s’intensifier en période de crise. Il est alors plus adéquat de parler de contagion. Cette différence de terminologie revêt des réalités diverses qui impactent le choix des politiques économiques. Cet article met en évidence la présence des phénomènes de contagion en période de crise entre plusieurs indices boursiers et confirme le rôle moteur joué par l’indice allemand. Notre étude empirique montre une surperformance du modèle Mackey-Glass-DCCGARCH par rapport au modèle DCC-GARCH, indiquant que les structures hautement complexes de type chaotiques présentes dans les séries de rentabilités sont bien prises en compte.

Suggested Citation

  • Rachida Hennani & Michel Terraza, 2014. "La crise des dettes souveraines: contagions ou interdépendances des principaux indices de la zone euro?," Working Papers 14-04, LAMETA, Universtiy of Montpellier, revised Feb 2014.
    • Handle: RePEc:lam:wpaper:14-04
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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2014-04.pdf
    File Function: First version, 2014
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    Cited by:

    1. amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.

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