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La volatilité des marchés augmente-t-elle ?

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  • Hélène Raymond-Feingold
  • Bogdan Négréa
  • Christophe Moussu
  • Bertrand Maillet
  • Catherine Lubochinsky
  • Emmanuel Jurczenko
  • Jérôme Héricourt
  • Sylvain Friederich
  • Thierry Chauveau

Abstract

[eng] Does market volatility increase ? . The French stock exchange has known a deep fall in prices for 3 years with great uncertainties on economic activity and firms' finances. So, this article deals with the size of market' s turbulences, their origins and the measures to take. A proper diagnosis implies a distinction between cyclical or structural trends based on historical analysis and theoretical results. This article presents the basis of volatility as risk measurement and the difficulties to use it. The authors compare the current volatility of prices and its long term trend. They base their analysis on new theoretical or empirical results. . JEL classifications : G10, G14 [fre] Le marché français des actions a connu 3 années consécutives de baisse des cours, avec des incertitudes sur les évolutions de l'activité économique et sur la situation financière des entreprises. Il est naturel dans ce contexte, de s'interroger sur l'importance des turbulences de marchés, sur leurs causes et sur les mesures à prendre. Un diagnostic correct suppose, néanmoins, qu'on dispose d'une analyse historique suffisamment riche et de résultats théoriques suffisamment robustes pour qu'on puisse distinguer entre phénomènes conjoncturels et phénomènes structurels. Aussi rappelle-t-on, dans le présent document, les fondements du concept de la volatilité comme mesure de risque et les difficultés d'utilisation de cette mesure ; on y effectue également une comparaison entre l'évolution récente de la volatilité des cours et son profil de longue période, en s'appuyant sur des résultats académiques récents, tant théoriques qu'empiriques. . Classification JEL : G10, G14

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Bibliographic Info

Article provided by Programme National Persée in its journal Revue d'économie financière.

Volume (Year): 74 (2004)
Issue (Month): 1 ()
Pages: 17-44

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Handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_74_1_5030

Note: DOI:10.3406/ecofi.2004.5030
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecofi

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