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Hypothèse d'efficience des marchés : une étude expérimentale avec incertitude et asymétrie d’information

Author

Listed:
  • Mondher Bouattour

    (CERIIM & LGCO Université de Toulouse 3 Paul Sabatier)

  • Isabelle Martinez

    (TSM Research - UMR 5303 CNRS Université de Toulouse 1 Capitole Université de Toulouse 3 Paul Sabatier)

Abstract

Cet article étudie l’hypothèse d’efficience des marchés financiers en utilisant des expériences en laboratoire. Nous avons effectué trois traitements expérimentaux avec deux dimensions distinctes : l’incertitude et l’asymétrie d’information. Les résultats montrent que l’incertitude et l’asymétrie informationnelle affectent le niveau d’efficience avec un impact plus prononcé pour l’asymétrie d’information. L’efficience des marchés est réduite lorsque la valeur fondamentale des actions est volatile. En outre, nous constatons que les participants sous-réagissent à l’information et que cette sous-réaction n’est pas corrigée pendant les périodes de négociation et les prix restent stables.

Suggested Citation

  • Mondher Bouattour & Isabelle Martinez, 2019. "Hypothèse d'efficience des marchés : une étude expérimentale avec incertitude et asymétrie d’information," Revue Finance Contrôle Stratégie, revues.org, vol. 22(4), pages 1-26, december.
    • Handle: RePEc:dij:revfcs:v:22:y:2019:i:4:p:1-26
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    More about this item

    Keywords

    efficience des marchés financiers; incertitude; asymétrie d’information; sous-réaction; expériences en laboratoire;
    All these keywords.

    JEL classification:

    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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