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Finance comportementale et volatilité

Listed author(s):
  • Jean-Paul Pollin
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    [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

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    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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    1. repec:hrv:faseco:30747159 is not listed on IDEAS
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