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La volatilité des marchés augmente-elle ?

Author

Listed:
  • Thierry Chauveau

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Sylvain Friederich
  • Jérôme Héricourt

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, EQUIPPE - Economie Quantitative, Intégration, Politiques Publiques et Econométrie - Université de Lille, Sciences et Technologies - Université de Lille, Sciences Humaines et Sociales - PRES Université Lille Nord de France - Université de Lille, Droit et Santé)

  • Emmanuel Jurczenko

    (ESCP-EAP - ESCP-EAP - Ecole Supérieure de Commerce de Paris)

  • Catherine Lubochinsky
  • Bertrand Maillet

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Christophe Moussu
  • Bogdan Négréa
  • Hélène Raymond Feingold

Abstract

[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 [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
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Suggested Citation

  • Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004. "La volatilité des marchés augmente-elle ?," Post-Print hal-00308982, HAL.
    • Handle: RePEc:hal:journl:hal-00308982
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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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