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La modélisation des interactions entre les corrélations et les volatilités des marchés financiers Marocain, Français, Américain et Japonais
[Modeling the interactions between correlations and volatilities of the Moroccan, French, American and Japanese financial markets]

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  • Chiny, Faycal
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    Abstract

    L'analyse des corrélations, constitue le pilier d’une stratégie réussie de diversification du portefeuille d’actions. Plus faibles sont les corrélations au sein d’un même portefeuille, plus importants seront les profits potentiels que nous pouvons en obtenir. Dans un contexte local, ceci est équivalent à l’étude des corrélations entre tous les rendements des valeurs ciblées par un investisseur sur un seul marché. Mais à l’échelle internationale, cette tache devient plus difficile car on est appelé à analyser toutes les relations entres les rendements sur les différents marchés internationaux. Erb, Harvey et Viskant (1994) et Longin et Solnik (1995), ont démontré que ces corrélations, varient avec le temps selon des phases cycliques dans les économies. Nous allons alors étudier au niveau international, la relation entre les corrélations et la volatilité des rendements des indices boursiers de 4 pays : le Maroc, la France, les Etas Unis et le Japon, et ce, du 01/01/2002 au 31/12/2012 et essayer de trouver s’il existe ou non, une relation de cause à effet

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    File URL: http://mpra.ub.uni-muenchen.de/51537/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 51537.

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    Date of creation: 18 Nov 2013
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    Handle: RePEc:pra:mprapa:51537

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    Keywords: Variation des corrélations dans le temps; modèle GARCH; gestion du portefeuille;

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    1. Lessard, Donald R, 1973. "International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries," Journal of Finance, American Finance Association, American Finance Association, vol. 28(3), pages 619-33, June.
    2. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(1), pages 3-26, February.
    3. John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, American Finance Association, vol. 23(5), pages 761-767, December.
    4. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 36, pages 394.
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