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Finance comportementale et volatilité

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  • Jean-Paul Pollin
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    Abstract

    [eng] Behavioural finance and volatility . Traditional explanations of markets volatility assume the agents' rationality and the traditional formulation of choice under uncertainty. But some cognitive psychology experiences showed volatility could be originated in behavioural deviancies from rules implying efficient assets prices. This literature explains enigmatic for traditional theory irregularities on financial markets. This article deals with the contribution of behavioural finance to explain financial volatility. The first part makes an inventory of behaviours likely to provoke erratic reactions of assets prices. The second part shows that rational agents' arbitrage isn't able to correct instability provoked by irrational or atypical behaviours. . JEL classifications : D81, D82, D84, G12, G14 [fre] Les explications avancées pour justifier la volatilité des marchés financiers ne remettent pas en cause l'hypothèse de rationalité et la formulation traditionnelle des choix en incertitude. Or, des expériences de psychologie cognitive ont montré que la volatilité pouvait résulter de déviances des comportements par rapport aux règles qui garantissent une formation efficiente des prix d'actifs. Cette littérature rend compte d'anomalies sur les marchés financiers constituant des énigmes pour la théorie traditionnelle. Cet article s'attache à passer en revue ce que la finance comportementale peut apporter à la compréhension de la volatilité financière. Pour cela, une première partie recense les traits de comportement susceptibles de provoquer des mouvements erratiques des prix d'actifs. Puis l'auteur montre que l'arbitrage effectué par des agents rationnels n'est généralement pas capable de compenser l'instabilité induite par ces comportements « irrationnels » ou atypiques. . Classification JEL : D81, D82, D84, G12, G14

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    File URL: http://dx.doi.org/doi:10.3406/ecofi.2004.5036
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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: 139-156

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    Handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_74_1_5036

    Note: DOI:10.3406/ecofi.2004.5036
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecofi

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    1. Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc.
    2. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    3. Matthew Rabin, 2002. "Inference By Believers In The Law Of Small Numbers," The Quarterly Journal of Economics, MIT Press, vol. 117(3), pages 775-816, August.
    4. Froot, Kenneth A. & Dabora, Emil M., 1999. "How are stock prices affected by the location of trade?," Journal of Financial Economics, Elsevier, vol. 53(2), pages 189-216, August.
    5. Richard H. Thaler & Eric J. Johnson, 1990. "Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice," Management Science, INFORMS, vol. 36(6), pages 643-660, June.
    6. Matthew Rabin., 1997. "Psychology and Economics," Economics Working Papers 97-251, University of California at Berkeley.
    7. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    8. Édouard Challe, 2004. "Équilibres multiples et volatilité boursière," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 105-123.
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    Cited by:
    1. Marie-Sophie Gauvin, 2010. "La relation liquidité-prix d'actifs comme complément au principe de sélectivité du renflouement par un prêteur en dernier ressort," Post-Print dumas-00563416, HAL.

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