Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés ? (tests de marche au hasard et de co-intégration)

Patrice Fontaine

Journal de la société française de statistique (1990)

  • Volume: 131, Issue: 1, page 16-36
  • ISSN: 1962-5197

How to cite


Fontaine, Patrice. "Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés ? (tests de marche au hasard et de co-intégration)." Journal de la société française de statistique 131.1 (1990): 16-36. <>.

author = {Fontaine, Patrice},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1},
pages = {16-36},
publisher = {Société de statistique de Paris},
title = {Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés ? (tests de marche au hasard et de co-intégration)},
url = {},
volume = {131},
year = {1990},

AU - Fontaine, Patrice
TI - Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés ? (tests de marche au hasard et de co-intégration)
JO - Journal de la société française de statistique
PY - 1990
PB - Société de statistique de Paris
VL - 131
IS - 1
SP - 16
EP - 36
LA - fre
UR -
ER -


  1. BOSSAERT P. (1988) " Common Nonstationnary Components of Asset Prices", Journal of Economic Dynamics and Control, 12, 347-364. Zbl0644.90019MR986520
  2. BOX G. et PIERCE D. (1970) " Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time series Models", Journal of the American Statistical Association, 65, 1509-1526. Zbl0224.62041MR273762
  3. CAMPBELL J. et SHILLER R. (1987) " Co-integration and Tests of Present Value Models", Journal of Finance, 95, 1062-1088. 
  4. CAMPBELL J. et SHILLER R. (1988) " The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors", Review of Financial Studies, forth-coming. 
  5. CERCHI M. et HAVENNER A. (1988) " Co-integration and Stock Prices.", Journal of Economic Dynamics and Control, 12, 333-346. MR986519
  6. DICKEY D. et FULLER W. (1981) " Likelihood Ratio Statistics for Autoregressive Time series with a Unit Root", Econometrica, 49, 1057-1072. Zbl0471.62090MR625773
  7. ENGLE D. et GRANGER C. (1987) " Co-integration and Error Correction : Representation, Estimation, and Testing", Econometrica, 55, 251-276. Zbl0613.62140MR882095
  8. ENGLE R. et YOO B. (1987) " Forecasting and Testing in Co-integrated Systems.", Journal of Econometrics, 35, 143-159. Zbl0649.62108
  9. FAMA E. (1970) " Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance, 25, 383-417. MR436921
  10. FAMA E. et FRENCH K. (1987) " Permanent and Temporary Components of Stock Prices", Journal of political economy, 96, 246-273. 
  11. FRENCH K., SCHWERT W. et STAMBAUGH, R. (1987) " Expected Stock Returns and Volatility", Journal of Financial Economics, 19, 3-30. 
  12. FULLER W. (1976) « Introduction to Statistical Times Series", New York, John Wiley and Sons. Zbl0353.62050MR448509
  13. GRANGER C.W.J. (1981) " Some Properties of Times Series Data and Their Use in Econometric Model Specification.", Journal of Econometrics, 16, 121-130. 
  14. GRANGER C.W.J. (1986) " Developpments in The Study of Cointegrated Economie Variables.", Oxford Bulletin of Economics and Statistics, 48, 213-228. 
  15. GRANGER C.W.J. et WEISS A. A. (1983) " Time Series Analysis of Error Correction Models" in Karlin, S., Amemiya, T. et Goodman, L.A. (eds), Studies in Econometric Time-Series and Multivariate Statistics, New-York, Academic Press. Zbl0547.62060MR738656
  16. JORION P. (1984) " Bayes Stein Estimation for Portfolio Analysis, Working paper, New-York, Columbia University. 
  17. KEIM M. et STAMBAUGH (1986) " Predicting Returns in Stock and Bond Markets," Journal of Financial Economics, 17, 357-390. 
  18. KLEIDON A. W. (1986) " Variance Bounds Tests and Stock Price Valuation Models.", Journal of Political Economy, 94, 953-1001. 
  19. LEROY S. F. et PARKE W.R. (1988) " Stock Price Volatility : A Test Based on The Geometric Random Walk", unpublished paper, University of California, Santa Barbara. 
  20. LO A. et MACKINLAY C. ( 1988a) " Stock Market Prices Do Not Follow Random Walks : Evidence from a Simple Specification Test", The Review of Financial Studies, 1, 41-66. 
  21. LO A. et MACKINLAY C. ( 1988b) " The Size and of The Variance Ratio Test in Finite Samples : A Monte Carlo Investigation", Working Paper, NBER, n° 66. 
  22. LUCAS R. (1978) " Asset Prices in a Exchange Economy", Econometrica, 46, 1429-1446. Zbl0398.90016MR513698
  23. MARSH T. et MERTON R. (1986) " Dividend Variability and Variance Bound Tests for the Rationality of Stock Market Prices", American Economic Review, 76, 483-498. 
  24. MERTON R. (1980) " On Estimating The Expected Return on the market : An Exploratory Investigation," Journal of Financial Economics, 8, p 323-361. 
  25. PHILIPPS P. (1987) " Times Series Regression with a Unit Root, Econometrica, 55, 277-302. Zbl0613.62109MR882096
  26. PORTEBA J. et SUMMERS L. (1986) " The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, 76, 1142-1151. 
  27. PORTEBA J. et SUMMERS L. (1987) " Mean Reversion in Stock Returns : Evidence and Implications," Journal of Financial Economics, 22, 27-59. 
  28. SHILLER R. (1981) " Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?", American Economic Review, 71, 421-436. 
  29. SUMMERS L. (1986) " Does the Stock Market Rationnaly Reflect Fundamental Values?" Journal of Finance, 41, 591-600. 
  30. SCHWERT W. (1987) " Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data", Journal of Monetary Economics, 20, 73-103. 

Citations in EuDML Documents

  1. Jean-Jacques Lilti, Les apports de la coïntégration aux tests d'efficience
  2. Nadine de La Pallière, La coïntégration et l'efficience du marché à terme des contrats Pibor 3 mois
  3. Roger Léopold Njiki, Coïntégration et test d'efficience sur les marchés dérivés
  4. Auguste Mpacko Priso, Efficience du marché boursier new-yorkais. Une analyse à partir de la théorie de la cointégration
  5. Jean-Jacques Lilti, Dépendance de durée et tests de bulles spéculatives
  6. Monique Le Guen, Séries chronologiques et analyse de données, des images de synthèse pour répondre à la question : ex-post, la classification COB des sicav est-elle pertinente ?

NotesEmbed ?


You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.


Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.