Contagion des opinions et fonctionnement des marchés financiers
[eng] Contagion of opinions in financial markets Many practitioners have underlined the role played by contagion processes in the generation not only of speculative bubbles but also of excess volatility. The following text shows the truth of such a point of view. Our idea is that, at the origin of interpersonal influences, we find the rational use of the information conveyed by prices. When the investors' confidence in the prevailing methods of fundamental evaluation is too low, the process of interaction becomes non-ergodic and gives rise to speculative bubbles. The model we use to demonstrate this result is very close to the Ising model. [fre] Contagion des opinions et fonctionnement des marchés financiers De nombreux praticiens de la finance ont souligné le rôle joué par les phénomènes de contagion, non seulement dans la formation des bulles, mais également dans l'existence d'une volatilité excessive des cours. Le présent texte démontre la pertinence de ce point de vue. Dans un premier temps, on souligne que l'utilisation rationnelle du prix, par l'ensemble des opérateurs, comme source complémentaire d'informations, est à la base même des phénomènes de contagion. Dans un second temps, on étudie cette dynamique d'interactions. On démontre que si les opérateurs ont une trop faible confiance dans les méthodes d'évaluation fondamentale, le processus d'interaction est non ergodique et donne naissance à des bulles spéculatives.
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- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, "undated".
"Noise Trader Risk in Financial Markets,"
J. Bradford De Long's Working Papers
_124, University of California at Berkeley, Economics Department.
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- Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,"
American Economic Review,
American Economic Association, vol. 71(3), pages 421-436, June.
- Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
- Robert J. Shiller, 1987. "Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence," NBER Working Papers 2446, National Bureau of Economic Research, Inc.
- Robert J. Shiller, 1987. "Investor Behavior in the 1987-10 Stock Market Crash: Survey Evidence," Cowles Foundation Discussion Papers 853, Cowles Foundation for Research in Economics, Yale University.
- French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
- Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring.
- Grossman, Sanford J, 1976. "On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information," Journal of Finance, American Finance Association, vol. 31(2), pages 573-585, May.
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