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Efficience informationnelle des marchés de l'or à Paris et à Londres, 1948-2008 : une vérification économétrique de la forme faible

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  • Thi Hong Van Hoang

    (Laboratoire Orléanais de Gestion)

Abstract

La rationalité des opérateurs et les informations diffusées sur le marché sont au coeur de la théorie de l’efficience informationnelle des marchés financiers. Les marchés de l’or n’échappent pas à cette règle générale. Etant un actif très particulier et très différent des autres actifs financiers, l’or a connu dans son histoire plusieurs krachs (1974, 1979, 1980, 2008) qui remettent en cause l’hypothèse de l’efficience informationnelle. Tel est le cœur de ce papier qui cherche à tester la forme faible de l’efficience informationnelle des marchés de l’or à Paris et à Londres durant une période de 61 ans de 1948 à 2008. Les résultats des tests de Ljung-Box montrent qu’il existe une autocorrélation d’ordre 1 dans les séries des rentabilités mensuelles de la pièce d’or napoléon cotée à Paris ainsi que de l’once d’or du fixing de l’après-midi à Londres. L’hétéroscédasticité conditionnelle est détectée sur les rentabilités mensuelles par le test de l’effet ARCH. L’hypothèse que les prix suivent une marche aléatoire ne peut pas être acceptée par le test d’Augmented Dickey-Fuller (ADF). Ces résultats nous mènent alors à la conclusion que l’hypothèse de l’efficience informationnelle de la forme faible des marchés de l’or à Paris et à Londres sur la période de 1948 à 2008 ne peut pas être acceptée. Mais les résultats du test réalisé sur le modèle MEDAF montre que les investisseurs français ne peuvent pas profiter de cette inefficience informationnelle pour réaliser des profits anormaux (sauf sur la période de 1971 à 1981). Ce qui n’est pas le cas des investisseurs en or à Londres (sauf sur la période de 1981 à 2004).

Suggested Citation

  • Thi Hong Van Hoang, 2009. "Efficience informationnelle des marchés de l'or à Paris et à Londres, 1948-2008 : une vérification économétrique de la forme faible," Working Papers 2009-1, Laboratoire Orléanais de Gestion - université d'Orléans.
    • Handle: RePEc:log:wpaper:2009-1
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    References listed on IDEAS

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    More about this item

    Keywords

    efficience informationnelle de forme faible; marchés de l’or à Paris et à Londres;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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