Analyse de la prévisibilité cross-country via l'étude de la cointégration : cas de six marchés asiatiques émergents
DOI:
https://doi.org/10.59051/joaf.v7i1.46Abstract
Cet article vise à étudier la prévisibilité des rendements dans son contexte multivariée. L’analyse a été menée sur un échantillon de six pays asiatiques émergents : Corée, HongKong, Inde, Taiwan, Indonésie et Singapore.L’approche multivariée de cointégration de Johansen [1988, 1991] aux séries des rendements hebdomadaires des prix des indices, exprimés en monnaies locales et en Euro, sur une période allant de 01/07/1997 jusqu’au 25/08/2008, montre que les six marchés sont cointégrés quand les prix des indices sont exprimés en monnaies locales. Ce résultat implique l’impossibilité de se diversifier internationalement dans ces régions Est-asiatiques. Au contraire, la non cointégration montrée lorsque les prix des indices sont exprimés en Euro implique l’existence des gains profitables de diversification internationale. Dans les deux cas, les résultats révélés mettent l’évidence d’une prévisibilité cross-country via entre ces différents marchés asiatiques émergents : La prévision des rendements futurs d’un marché peut être améliorée par l’inclusion des rendements passés des autres marchés.
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