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Informations et vitesse de réaction du marché boursier en continu. Une analyse empirique du marché boursier français

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  • Daniel Szpiro

Abstract

[fre] Informations et vitesse de réaction du marché boursier en continu. Une analyse empirique du marché boursier français. . Le degré d'efficience du marché boursier français est étudié en analysant la vitesse de réaction du marché continu aux informations diffusées en temps réel par les agences de presse. Le début de la réaction des cours boursiers peut être daté d'avant la diffusion de l'annonce, mais les cours ne se stabilisent pas avant le lendemain du jour de l'annonce, ce qui indique paradoxalement un degré limité d'efficience semi-forte des marchés. La réaction des prix et des volumes avant la diffusion publique de l'annonce est cohérente avec le modèle de Kyle A. de révélation de l'information par les échanges. L'existence de nombreux analystes financiers freine les possibilités d'anticipation des mouvements de cours, ce qui pourrait s'interpréter en considérant que les possibilités de camouflage sont rendues plus difficiles. [eng] The speed of adjustment of stock prices to news : the french case. . 7776 speed of adjustment to news spread by news wires is analysed on the Paris Bourse. The pieces of information retained in this study are those specific to a stock, which have led to movement of prices of at least 2 %, and which arrived during the opening hours of the Paris stock exchange. Stock prices begin to move before the news. The first movement can be ascribed at the beginning of the day of the news, or may be at 3 PM on the eve of that day. Prices do not settle fully before the day next to the news. The number of analysts also interfere with the timing of the first movement : the price of many analysts firms tend to anticipate to a lesser extend the price of few analysts firms.

Suggested Citation

  • Daniel Szpiro, 1998. "Informations et vitesse de réaction du marché boursier en continu. Une analyse empirique du marché boursier français," Revue Économique, Programme National Persée, vol. 49(2), pages 487-526.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1998_num_49_2_409988
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    1. repec:ipg:wpaper:2013-027 is not listed on IDEAS
    2. Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
    3. repec:ipg:wpaper:27 is not listed on IDEAS

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