La transmission entre les marchés boursiers :Une analyse en composante principale
AbstractCet article examine le comportement des rendements des indices de cinq facteurs :trois blocs de marchés (AMERIQUE, EUROPE et ASIE) et deux marchés indépendants (JAPON et AUSTRALIE). Nous proposons d’analyser la transmission des perturbations financières et l’examen des liens entre les différents blocs. La modélisation VAR (Vector Autoregression), la décomposition généralisée de la variance des erreurs de prévision ainsi que l’étude des réponses impulsionnelles ont été adoptées pour modéliser les rendements quotidiens des cinq facteurs durant la période allant du 01/03/1995 au 31/03/2003. Cette période permet de suivre le comportement des blocs de marchés avant et après l’éclatement de la bulle spéculative en mars 2000. Les principaux résultats montrent d’une part, l’existence des relations entre les différents blocs et d’autre part le rôle important du bloc américain dans l’explication des variations des autres blocs et des autres marchés. / This article examines the indices return behaviour of five factors: three financial markets blocks (AMERICA, EUROPE and ASIA) and two independent markets (JAPAN and AUSTRALIA). We propose to analyze the transmission of the financial perturbations and the examination of linkage between different blocks. Vector autoregression (VAR), generalized decomposition of the variance of the errors of forecast as well as the study of the impulse responses were adopted to model the daily return of the five factors from 01/03/1995 to 31/03/2003. This period makes possible to follow the indices behaviour before and after the speculative bubble bursting in March 2000. The principal results show on the one hand, the existence of the relations between the different blocks and on the other hand the significant role of American block in the explanation of the variations of the other blocks and other markets.
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Bibliographic InfoArticle provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.
Volume (Year): 52 (2009)
Issue (Month): 2 ()
Transmission; Modèle VAR/VAR Model; Décomposition de la Variance/Variance Decomposition; Réponse impulsionnelle/Impulse Response Function; ACP;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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