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Microstructure des marchés financiers et interruptions de cotation

Author

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  • Karine Michalon

    () (CEREG - Centre de Recherche sur la gestion et la Finance - DRM UMR 7088 - Université Paris-Dauphine)

Abstract

Aujourd'hui, les réglementations de toutes les places boursières prévoient des procédures d'interruption de cotation. Le rôle de ces dispositifs est de permettre l'information des participants au marché et de protéger les intérêts des petits porteurs. Il s'agit ainsi de garantir l'efficience informationnelle des marchés en réduisant les asymétries d'information et la volatilité. Mais, dans quelle mesure ces mécanismes atteignent-ils les objectifs qui leur sont assignés ? L'objectif de notre travail est d'appréhender empiriquement les interruptions de cotation à Euronext Paris (réservations et suspensions) en menant une étude statistique approfondie et en examinant leur impact sur les paramètres de marché que sont la rentabilité, la volatilité et le volume. Notre étude porte sur les valeurs intraquotidiennes du CAC40 de janvier 1998 à décembre 2001. Elle montre que les réservations sont beaucoup plus nombreuses que les suspensions et qu'il existe un parallèle entre la fréquence des réservations et l'amplitude élevée des crises. Il apparaît une efficacité mitigée des interruptions de cotation, dépendant de la période (avant ou après la réforme du 23/04/2001).

Suggested Citation

  • Karine Michalon, 2011. "Microstructure des marchés financiers et interruptions de cotation," Post-Print halshs-00637714, HAL.
  • Handle: RePEc:hal:journl:halshs-00637714 Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00637714
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    References listed on IDEAS

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    More about this item

    Keywords

    Microstructure des marchés; suspensions de cotation; réservations; volatilité; volume; efficience;

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