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Stratégies de gestion alternative, liquidité des marchés et excès de volatilité

Abstract : This PH.D thesis focuses on the contribution of sophisticated investors, i.e. hedge funds, in the dynamics of financial markets. Considering that they are key players in the price discovery and market liquidity, regarding the standard model or the behavioral critics, it provides an assessment of dynamic interdependencies between alternative management strategies and financial markets.The first three chapters put into perspective, through original econometric approaches, hedge funds strategies with market dynamics through the study of returns , volatility and co-volatilities. Based on a wide range of results, the study reveals the many causalities between funds and markets offering to the behavioral finance elements of empirical evidence of the interactions described interms of excess volatility or financial contagion. Rich in these teachings, the last chapter finally proposes a return to theoretical models of market equilibria in order to provide a mixed picture of rational speculation in its relation to market efficency.
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Submitted on : Wednesday, May 28, 2014 - 4:32:09 PM
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  • HAL Id : tel-00997750, version 1


Guillaume Queffelec. Stratégies de gestion alternative, liquidité des marchés et excès de volatilité. Economies et finances. Université Rennes 1, 2013. Français. ⟨NNT : 2013REN1G024⟩. ⟨tel-00997750⟩



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