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Existe-t-il des seuils psychologiques sur les marchés financiers? Une application au future CAC 40 sur données très haute fréquence

  • Morel, Christophe
  • Teiletche, Jérôme
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    La presse financière et les praticiens de la finance font souvent référence à l'existence de barrière psychologiques sur les indices boursiers ou les taux de change. L'existence de telles barrières intéresse également la littérature académique car elle constitue a priori une violation de l'hypothèse d'efficience des marchés. Cet article se propose de tester l'existence de barrières psychologiques sur l'indice CAC 40, à partir de données très haute fréquence sur le contrat à terme de cet indice. Après avoir formulé différents tests de l'hypothèse de barrières psychologiques ("uniformité", "non-concentration", et "non-accélération"), nous présentons une méthode par simulation qui permet de contourner les limitations inhérentes aux tests simples de ces hypothèses. L'application révèle l'existence de barrières significatives pour les seuils multiples de 1000 mais pas pour les seuils multiples de 100.

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    Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/9841.

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    Date of creation: 2001
    Date of revision:
    Publication status: Published in Banque & marchés, 2001, no. 52. pp. 17-25.Length: 8 pages
    Handle: RePEc:dau:papers:123456789/9841
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