IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Finance comportementale et volatilité

  • Jean-Paul Pollin
Registered author(s):

    [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

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://dx.doi.org/doi:10.3406/ecofi.2004.5036
    Download Restriction: no

    File URL: http://www.persee.fr/articleAsPDF/ecofi_0987-3368_2004_num_74_1_5036/ecofi_0987-3368_2004_num_74_1_5036.pdf?mode=light
    Download Restriction: no

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

    Volume (Year): 74 (2004)
    Issue (Month): 1 ()
    Pages: 139-156

    as
    in new window

    Handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_74_1_5036
    Note: DOI:10.3406/ecofi.2004.5036
    Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecofi

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Matthew Rabin., 2000. "Inference by Believers in the Law of Small Numbers," Economics Working Papers E00-282, University of California at Berkeley.
    2. 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.
    3. Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc.
    4. Matthew Rabin, 1998. "Psychology and Economics," Journal of Economic Literature, American Economic Association, vol. 36(1), pages 11-46, March.
    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. Édouard Challe, 2004. "Équilibres multiples et volatilité boursière," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 105-123.
    7. Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
    8. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_74_1_5036. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.