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Finance comportementale et volatilité

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  • Jean-Paul Pollin

Abstract

[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 [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

Suggested Citation

  • Jean-Paul Pollin, 2004. "Finance comportementale et volatilité," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 139-156.
  • Handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_74_1_5036
    Note: DOI:10.3406/ecofi.2004.5036
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    References listed on IDEAS

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    1. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "The Size and Incidence of the Losses from Noise Trading," Journal of Finance, American Finance Association, vol. 44(3), pages 681-696, July.
    2. Barberis, Nicholas & Thaler, Richard, 2003. "A survey of behavioral finance," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 18, pages 1053-1128 Elsevier.
    3. 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.
    4. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    5. Matthew Rabin, 2002. "Inference by Believers in the Law of Small Numbers," The Quarterly Journal of Economics, Oxford University Press, vol. 117(3), pages 775-816.
    6. Matthew Rabin, 1998. "Psychology and Economics," Journal of Economic Literature, American Economic Association, vol. 36(1), pages 11-46, March.
    7. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    8. 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.
    9. repec:hrv:faseco:30747159 is not listed on IDEAS
    10. 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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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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