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Contagion des opinions et fonctionnement des marchés financiers

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  • André Orléan

Abstract

[eng] Contagion of opinions in financial markets . . Many practitioners have underlined the role played by contagion processes in the generation not only of speculative bubbles but also of excess volatility. The following text shows the truth of such a point of view. Our idea is that, at the origin of interpersonal influences, we find the rational use of the information conveyed by prices. When the investors' confidence in the prevailing methods of fundamental evaluation is too low, the process of interaction becomes non-ergodic and gives rise to speculative bubbles. The model we use to demonstrate this result is very close to the Ising model. [fre] Contagion des opinions et fonctionnement des marchés financiers. . De nombreux praticiens de la finance ont souligné le rôle joué par les phénomènes de contagion, non seulement dans la formation des bulles, mais également dans l'existence d'une volatilité excessive des cours. Le présent texte démontre la pertinence de ce point de vue. Dans un premier temps, on souligne que l'utilisation rationnelle du prix, par l'ensemble des opérateurs, comme source complémentaire d'informations, est à la base même des phénomènes de contagion. Dans un second temps, on étudie cette dynamique d'interactions. On démontre que si les opérateurs ont une trop faible confiance dans les méthodes d'évaluation fondamentale, le processus d'interaction est non ergodique et donne naissance à des bulles spéculatives.

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): n° 43 (1992)
Issue (Month): 4 ()
Pages: 685-698

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Handle: RePEc:cai:recosp:reco_p1992_43n4_0685

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Web page: http://www.cairn.info/revue-economique.htm

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Cited by:
  1. Bertrand BLANCHETON (GREThA UMR CNRS 5113) & Yves JEGOUREL (LAREFI), 2009. "Sovereign wealth funds: toward a new state capitalism? (In French)," Cahiers du GREThA 2009-04, Groupe de Recherche en Economie Théorique et Appliquée.
  2. Bronka Rzepkowski, 2001. "Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate," Working Papers 2001-03, CEPII research center.

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