Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?
2004; Association d'économie financière; Volume: 74; Issue: 1 Linguagem: Inglês
10.3406/ecofi.2004.5039
ISSN1777-5744
Autores Tópico(s)Market Dynamics and Volatility
ResumoDow Jones, CAC 40 and SBF 120 : why the CAC 40 is more volatile ? The notion that the financial markets are inherently efficient is a theory widely accepted by many researchers and professionals. It puts into question methods that seek to predict the ups and downs of financial assets. The recent volatility of the financial markets has raised this question again and raised doubts as whether the markets are able to « correctly » value the stocks they list. We therefore analyse the Dow Jones, the CAC 40 and the SBF 120 from 1993 to 2003. Four interesting conclusions may be drawn from this analysis. First, all three indexes have become more volatile since 1996. Secondly, the Dow Jones industrial average is less volatile than the French indexes used in our study. Also the indexes are closely correlated, but there is a delayed reaction. Finally, we compare the two French indexes to each other and attempt to understand why the CAC 40 is more volatile. JEL classifications : D84, G1, G12, G14
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