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Analyse comparée des caractéristiques économétriques de trois marchés des actions en Asie : Chine, Inde et Japon

Abstract : This study compares the characteristics of the stock markets of the three major countries of the Asian economic area: China, India and Japan. We show that the index returns of these countries do not follow a random walk, and that their volatilities exhibit positive autocorrelations. Moreover, the Japanese stock market seems to be fairly closer to efficiency and maturity than the Chinese market, and clearly more than the Indian market, as this market include far more frequent return outliers than the two others.
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Submitted on : Friday, September 23, 2016 - 11:51:31 AM
Last modification on : Wednesday, October 20, 2021 - 3:22:26 AM

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Sophie Nivoix, Prateek Gupta. Analyse comparée des caractéristiques économétriques de trois marchés des actions en Asie : Chine, Inde et Japon. La Revue des Sciences de Gestion, Revue des Sciences de Gestion, 2014, pp.75-87. ⟨10.3917/rsg.266.0075⟩. ⟨halshs-01370735⟩

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