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- W1538422723 abstract "Cet article examine le comportement des rendements des indices de cinq facteurs : trois blocs de marches (AMERIQUE, EUROPE et ASIE) et deux marches independants (JAPON et AUSTRALIE). Nous proposons d’analyser la transmission des perturbations financieres et l’examen des liens entre les differents blocs. La modelisation VAR (Vector Autoregression), la decomposition generalisee de la variance des erreurs de prevision ainsi que l’etude des reponses impulsionnelles ont ete adoptees pour modeliser les rendements quotidiens des cinq facteurs durant la periode allant du 01/03/1995 au 31/03/2003. Cette periode permet de suivre le comportement des blocs de marches avant et apres l’eclatement de la bulle speculative en mars 2000. Les principaux resultats montrent d’une part, l’existence des relations entre les differents blocs et d’autre part le role important du bloc americain dans l’explication des variations des autres blocs et des autres marches. / This article examines the indices return behaviour of five factors: three financial markets blocks (AMERICA, EUROPE and ASIA) and two independent markets (JAPAN and AUSTRALIA). We propose to analyze the transmission of the financial perturbations and the examination of linkage between different blocks. Vector autoregression (VAR), generalized decomposition of the variance of the errors of forecast as well as the study of the impulse responses were adopted to model the daily return of the five factors from 01/03/1995 to 31/03/2003. This period makes possible to follow the indices behaviour before and after the speculative bubble bursting in March 2000. The principal results show on the one hand, the existence of the relations between the different blocks and on the other hand the significant role of American block in the explanation of the variations of the other blocks and other markets." @default.
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- W1538422723 date "2009-01-01" @default.
- W1538422723 modified "2023-09-23" @default.
- W1538422723 title "La transmission entre les marchés boursiers :: Une analyse en composante principale" @default.
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