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Impact des interruptions de cotation sur la microstructure du marché boursier français

  • Karine Michalon


    (DRM - Dauphine Recherches en Management - CNRS : UMR7088 - Université Paris Dauphine - Paris IX)

Les interruptions de cotation réglementées d'Euronext Paris et de toutes les autres places boursières ont pour but de réduire les asymétries d'informations et la volatilité et de permettre l'émergence d'un consensus. L'usage de ces interruptions est très fréquent sur le marché boursier français des valeurs qui composent le CAC 40, le SBF 120 et le SBF 250 : on constate en moyenne plus de 7 interruptions par séance. La fréquence est d'autant plus élevée que les valeurs ont de faibles capitalisations boursières. Pourtant notre étude empirique fait ressortir une inefficacité des réservations de cotation. En effet, la volatilité des cours est plus élevée après réservation.

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Paper provided by HAL in its series Post-Print with number halshs-00142776.

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Date of creation: 2002
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Publication status: Published, Revue d'économie financière, 2002, 70, pp. 253-259
Handle: RePEc:hal:journl:halshs-00142776
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