L'énigme de volatilité excessive des cours boursiers: explication par la finance comportementale à travers l'excès de confiance et le comportement grégaire. "Validation empirique sur la BVMT (Bourse des Valeurs Mobilières de Tunis )"

Annexe

115

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à
travers l'excès de confiance et le comportement grégaire.

+ Les entreprises tunisiennes qui composent l'échantillon utilisé au niveau des

trois chapitres sont :

ASTREE, Air Liquide Tunisie, STIL ,BH, ICF, AMS, Tunisie Leasing, Amen Bank, SPDIT, UIB, BNA, ATB, TUNISAIR, BT, ALKIMIA, UBCI, STB, BS, BIAT,CIL.

+ Tableau 1.1 : Statistiques descriptives de la série des prix

Date: 09/26/09
Time: 17:54

Sample: 1997 2008

	DIVIDENDE
Mean	1.122333
Median	1.213000
Maximum	1.528000
Minimum	0.008000
Std. Dev.	0.382530
Skewness	-2.218016
Kurtosis	7.304477
Jarque-Bera	19.10345
Probability	0.000071
Sum	13.46800
Sum Sq. Dev.	1.609625
Observations	12

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Date: 09/26/09
Time: 17:55

Sample: 1997 2008

	PRIX
Mean	36.03792
Median	35.07900
Maximum	52.68800
Minimum	28.39500
Std. Dev.	7.669389
Skewness	0.789453
Kurtosis	2.742842
Jarque-Bera	1.279537
Probability	0.527415
Sum	432.4550
Sum Sq. Dev.	647.0149
Observations	12

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« Validation empirique sur la BVMT »

constante « en niveau »

Null Hypothesis: PRIX has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.192777 0.1361

Test critical values: 1% level -5.124875

5% level -3.933364

10% level -3.420030

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 11

Augmented Dickey-Fuller Test Equation Dependent Variable: D(PRIX)

Method: Least Squares

Date: 09/26/09 Time: 17:56

Sample (adjusted): 1998 2008

Included observations: 11 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
PRIX(-1) C @TREND(1997)	-1.123187 31.88795 1.529708	0.351790 -3.192777 10.60629 3.006513 0.796726 1.919992	0.0128 0.0169 0.0911
R-squared	0.560519	Mean dependent var	1.478455
Adjusted R-squared	0.450649	S.D. dependent var	9.212354
S.E. of regression	6.828033	Akaike info criterion	6.906951
Sum squared resid	372.9763	Schwarz criterion	7.015468
Log likelihood	-34.98823	Hannan-Quinn criter.	6.838547
F-statistic	5.101646	Durbin-Watson stat	2.060256
Prob(F-statistic)	0.037304

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« Validation empirique sur la BVMT »

en niveau »

Null Hypothesis: PRIX has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.240283 0.2043

Test critical values: 1% level -4.200056

5% level -3.175352

10% level -2.728985

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 11

Augmented Dickey-Fuller Test Equation Dependent Variable: D(PRIX)

Method: Least Squares

Date: 09/26/09 Time: 17:59

Sample (adjusted): 1998 2008

Included observations: 11 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
PRIX(-1)	-0.733829	0.327561 -2.240283	0.0518
C	27.34292	11.78112 2.320911	0.0454
R-squared	0.358008	Mean dependent var	1.478455
Adjusted R-squared	0.286676	S.D. dependent var	9.212354
S.E. of regression	7.780619	Akaike info criterion	7.104115
Sum squared resid	544.8423	Schwarz criterion	7.176459
Log likelihood	-37.07263	Hannan-Quinn criter.	7.058511
F-statistic	5.018866	Durbin-Watson stat	2.058506
Prob(F-statistic)	0.051819

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« Validation empirique sur la BVMT »

différence première »

Null Hypothesis: D(PRIX) has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.524365 0.0072

Test critical values: 1% level -4.297073

5% level -3.212696

10% level -2.747676

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 10

Augmented Dickey-Fuller Test Equation Dependent Variable: D(PRIX,2)

Method: Least Squares

Date: 09/26/09 Time: 18:02

Sample (adjusted): 1999 2008

Included observations: 10 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
D(PRIX(-1))	-1.454486	0.321478 -4.524365	0.0019
C	2.021124	2.928067 0.690259	0.5096
R-squared	0.719001	Mean dependent var	0.611000
Adjusted R-squared	0.683876	S.D. dependent var	16.37488
S.E. of regression	9.206756	Akaike info criterion	7.454609
Sum squared resid	678.1149	Schwarz criterion	7.515126
Log likelihood	-35.27304	Hannan-Quinn criter.	7.388222
F-statistic	20.46988	Durbin-Watson stat	2.118155
Prob(F-statistic)	0.001939

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« Validation empirique sur la BVMT »

tendance et constante « en niveau »

Null Hypothesis: DIVIDENDE has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.320162 0.8241

Test critical values: 1% level -5.124875

5% level -3.933364

10% level -3.420030

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 11

Augmented Dickey-Fuller Test Equation Dependent Variable: D(DIVIDENDE)

Method: Least Squares

Date: 09/26/09 Time: 18:03

Sample (adjusted): 1998 2008

Included observations: 11 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
DIVIDENDE(-1) C @TREND(1997)	-1.101464 1.503915 -0.044551	0.834340 -1.320162 1.010099 1.488878 0.040171 -1.109018	0.2233 0.1748 0.2996
R-squared	0.315103	Mean dependent var	-0.111182
Adjusted R-squared	0.143879	S.D. dependent var	0.446674
S.E. of regression	0.413293	Akaike info criterion	1.297681
Sum squared resid	1.366489	Schwarz criterion	1.406198
Log likelihood	-4.137246	Hannan-Quinn criter.	1.229276
F-statistic	1.840297	Durbin-Watson stat	1.430533
Prob(F-statistic)	0.220039

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« Validation empirique sur la BVMT »

constante « en niveau »

Null Hypothesis: DIVIDENDE has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.545842 0.4747

Test critical values: 1% level -4.200056

5% level -3.175352

10% level -2.728985

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 11

Augmented Dickey-Fuller Test Equation Dependent Variable: D(DIVIDENDE)

Method: Least Squares

Date: 09/26/09 Time: 18:06

Sample (adjusted): 1998 2008

Included observations: 11 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
DIVIDENDE(-1)	-1.281239	0.828830 -1.545842	0.1565
C	1.456589	1.022007 1.425224	0.1878
R-squared	0.209807	Mean dependent var	-0.111182
Adjusted R-squared	0.122008	S.D. dependent var	0.446674
S.E. of regression	0.418539	Akaike info criterion	1.258872
Sum squared resid	1.576573	Schwarz criterion	1.331216
Log likelihood	-4.923795	Hannan-Quinn criter.	1.213269
F-statistic	2.389626	Durbin-Watson stat	1.220381
Prob(F-statistic)	0.156544

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« Validation empirique sur la BVMT »

tendance ni constante « en niveau »

Null Hypothesis: DIVIDENDE has a unit root

Exogenous: None

Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.014160 0.2593

Test critical values: 1% level -2.792154

5% level -1.977738

10% level -1.602074

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 11

Augmented Dickey-Fuller Test Equation Dependent Variable: D(DIVIDENDE)

Method: Least Squares

Date: 09/26/09 Time: 18:07

Sample (adjusted): 1998 2008

Included observations: 11 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
DIVIDENDE(-1)	-0.109011	0.107489 -1.014160	0.3344
R-squared	0.031464	Mean dependent var	-0.111182
Adjusted R-squared	0.031464	S.D. dependent var	0.446674
S.E. of regression	0.439591	Akaike info criterion	1.280563
Sum squared resid	1.932400	Schwarz criterion	1.316735
Log likelihood	-6.043094	Hannan-Quinn criter.	1.257761
Durbin-Watson stat	1.797977

123

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« Validation empirique sur la BVMT »

tendance ni constante « en différence première »

Null Hypothesis: D(DIVIDENDE) has a unit root Exogenous: None

Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.022920 0.0067

Test critical values: 1% level -2.816740

5% level -1.982344

10% level -1.601144

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 10

Augmented Dickey-Fuller Test Equation Dependent Variable: D(DIVIDENDE,2) Method: Least Squares

Date: 09/26/09 Time: 18:37

Sample (adjusted): 1999 2008

Included observations: 10 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
D(DIVIDENDE(-1))	-1.610822	0.532870 -3.022920	0.0144
R-squared	0.488349	Mean dependent var	-0.106000
Adjusted R-squared	0.488349	S.D. dependent var	0.633078
S.E. of regression	0.452840	Akaike info criterion	1.348082
Sum squared resid	1.845573	Schwarz criterion	1.378340
Log likelihood	-5.740409	Hannan-Quinn criter.	1.314888
Durbin-Watson stat	1.277417

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« Validation empirique sur la BVMT »

modèle avec tendance et constante « en niveau »

Null Hypothesis: RENDEMENT has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.967535 0.0011

Test critical values: 1% level -4.165756

5% level -3.508508

10% level -3.184230

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(RENDEMENT) Method: Least Squares

Date: 05/09/10 Time: 14:48

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
RENDEMENT(-1) C @TREND(2005M01)	-0.718813 0.769962 0.016353	0.144702 -4.967535 0.223458 3.445670 0.006441 2.538678	0.0000 0.0013 0.0147
R-squared	0.360049	Mean dependent var	0.021498
Adjusted R-squared	0.330960	S.D. dependent var	0.649914
S.E. of regression	0.531596	Akaike info criterion	1.635836
Sum squared resid	12.43415	Schwarz criterion	1.753930
Log likelihood	-35.44214	Hannan-Quinn criter.	1.680276
F-statistic	12.37761	Durbin-Watson stat	1.977557
Prob(F-statistic)	0.000054

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« Validation empirique sur la BVMT »

du marché : modèle avec tendance et constante « en niveau »

Null Hypothesis: VOLUME has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -9.636677 0.0000

Test critical values: 1% level -4.165756

5% level -3.508508

10% level -3.184230

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(VOLUME)

Method: Least Squares

Date: 05/04/10 Time: 13:44

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
VOLUME(-1) C @TREND(2005M01)	-1.361640 0.039840 -0.000135	0.141298 -9.636677 0.007554 5.274238 0.000232 -0.581549	0.0000 0.0000 0.5638
R-squared	0.678686	Mean dependent var	-0.000285
Adjusted R-squared	0.664080	S.D. dependent var	0.037263
S.E. of regression	0.021597	Akaike info criterion	-4.770832
Sum squared resid	0.020523	Schwarz criterion	-4.652738
Log likelihood	115.1146	Hannan-Quinn criter.	-4.726393
F-statistic	46.46877	Durbin-Watson stat	2.099563
Prob(F-statistic)	0.000000

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« Validation empirique sur la BVMT »

du marché : modèle avec constante « en niveau »

Null Hypothesis: VOLUME has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -9.694405 0.0000

Test critical values: 1% level -3.577723

5% level -2.925169

10% level -2.600658

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(VOLUME)

Method: Least Squares

Date: 05/04/10 Time: 13:51

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
VOLUME(-1)	-1.358968	0.140181 -9.694405	0.0000
C	0.036525	0.004919 7.425439	0.0000
R-squared	0.676216	Mean dependent var	-0.000285
Adjusted R-squared	0.669021	S.D. dependent var	0.037263
S.E. of regression	0.021438	Akaike info criterion	-4.805729
Sum squared resid	0.020680	Schwarz criterion	-4.726999
Log likelihood	114.9346	Hannan-Quinn criter.	-4.776102
F-statistic	93.98150	Durbin-Watson stat	2.088023
Prob(F-statistic)	0.000000

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« Validation empirique sur la BVMT »

+ Figure 2.2 : Corrélogramme de la série des rendements mensuels du marché

Date: 05/10/10 Time: 11:12 Sample: 2005M01 2008M12 Included observations: 48
Autocorrelation		Partial Correlation			AC	PAC	Q-Stat	Prob
. |***	|	. |***	|	1	0.434	0.434	9.6166	0.002
. |**	|	. | .	|	2	0.246	0.072	12.784	0.002
. | .	|	.*| .	|	3	-0.009	-0.173	12.788	0.005
. | .	|	. | .	|	4	-0.064	-0.025	13.009	0.011
.*| .	|	. | .	|	5	-0.078	0.000	13.350	0.020
. |*.	|	. |**	|	6	0.142	0.240	14.507	0.024
. |*.	|	. | .	|	7	0.123	-0.016	15.399	0.031
. |*.	|	. | .	|	8	0.168	0.036	17.088	0.029
. |*.	|	. |*.	|	9	0.195	0.148	19.437	0.022
. |*.	|	. |*.	|	10	0.192	0.090	21.769	0.016
. |*.	|	. |*.	|	11	0.165	0.079	23.538	0.015
. |*.	|	. | .	|	12	0.112	-0.024	24.375	0.018
.*| .	|	**| .	|	13	-0.156	-0.284	26.050	0.017
**| .	|	.*| .	|	14	-0.230	-0.109	29.793	0.008
**| .	|	.*| .	|	15	-0.255	-0.090	34.536	0.003
. | .	|	. |*.	|	16	-0.036	0.142	34.634	0.004
. | .	|	.*| .	|	17	-0.024	-0.142	34.680	0.007
. |*.	|	. |*.	|	18	0.208	0.130	38.155	0.004
. |*.	|	. | .	|	19	0.131	0.045	39.578	0.004
. | .	|	.*| .	|	20	0.019	-0.103	39.608	0.006

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« Validation empirique sur la BVMT »

+ Tableau 2.6 : test de causalité au sens de Granger

Pairwise Granger Causality Tests Date: 05/10/10 Time: 11:39

Sample: 2005M01 2008M12 Lags: 1

Null Hypothesis: Obs F-Statistic Prob.

VT does not Granger Cause REND 47 0.18812 0.6666

REND does not Granger Cause VT 2.86139 0.0978

+ Tableau 2.7 : décomposition du volume de transaction du marché et extraction de

la composante liée à l'excès de confiance

Dependent Variable: VT

Method: Least Squares

Date: 05/11/10 Time: 13:00

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	0.042351	0.009081 4.663807	0.0000
REND(-1)	-0.009797	0.005347 -1.832067	0.0736
R-squared	0.069411	Mean dependent var	0.026802
Adjusted R-squared	0.048731	S.D. dependent var	0.022696
S.E. of regression	0.022136	Akaike info criterion	-4.741632
Sum squared resid	0.022049	Schwarz criterion	-4.662902
Log likelihood	113.4283	Hannan-Quinn criter.	-4.712005
F-statistic	3.356468	Durbin-Watson stat	2.646820
Prob(F-statistic)	0.073565

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travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

AR(1) de la série des rendements mensuels du marché

Dependent Variable: REND

Method: Least Squares

Date: 05/10/10 Time: 11:14

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments Convergence achieved after 3 iterations

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.626358	0.149719 10.86277	0.0000
AR(1)	0.450498	0.135964 3.313366	0.0018
R-squared	0.196118	Mean dependent var	1.608733
Adjusted R-squared	0.178254	S.D. dependent var	0.620891
S.E. of regression	0.562839	Akaike info criterion	1.729974
Sum squared resid	14.25544	Schwarz criterion	1.808704
Log likelihood	-38.65440	Hannan-Quinn criter.	1.759601
F-statistic	10.97840	Durbin-Watson stat	2.056127
Prob(F-statistic)	0.001826
Inverted AR Roots	.45

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travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

AR(2) de la série des rendements mensuels du marché

Dependent Variable: REND

Method: Least Squares

Date: 05/10/10 Time: 11:15

Sample (adjusted): 2005M03 2008M12 Included observations: 46 after adjustments Convergence achieved after 3 iterations

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.656860	0.168234 9.848547	0.0000
AR(1)	0.405941	0.151438 2.680568	0.0104		AR(2)
0.091238	0.153719 0.593539	0.5559
R-squared	0.201127	Mean dependent var	1.622554
Adjusted R-squared	0.163970	S.D. dependent var	0.620399
S.E. of regression	0.567260	Akaike info criterion	1.766996
Sum squared resid	13.83671	Schwarz criterion	1.886255
Log likelihood	-37.64090	Hannan-Quinn criter.	1.811671
F-statistic	5.412904	Durbin-Watson stat	1.936018
Prob(F-statistic)	0.008003
Inverted AR Roots	.57	-.16

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« Validation empirique sur la BVMT »

MA(1) de la série de rendement

Dependent Variable: REND Method: Least Squares

Date: 05/10/10 Time: 11:16 Sample: 2005M01 2008M12 Included observations: 48

Convergence achieved after 18 iterations

MA Backcast: 2004M12

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.607086	0.109575 14.66650	0.0000
MA(1)	0.322761	0.139720 2.310053	0.0254
R-squared	0.141194	Mean dependent var	1.604136
Adjusted R-squared	0.122524	S.D. dependent var	0.615075
S.E. of regression	0.576164	Akaike info criterion	1.775924
Sum squared resid	15.27037	Schwarz criterion	1.853890
Log likelihood	-40.62217	Hannan-Quinn criter.	1.805387
F-statistic	7.562736	Durbin-Watson stat	1.787916
Prob(F-statistic)	0.008490
Inverted MA Roots	-.32

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« Validation empirique sur la BVMT »

Date: 05/10/10 Time: 11:17 Sample: 2005M01 2008M12 Included observations: 48

Convergence achieved after 10 iterations

MA Backcast: 2004M11	2004M12
Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.618529	0.134977 11.99112	0.0000
MA(1)	0.389769	0.142938 2.726835	0.0091		MA(2)
0.305590	0.146623 2.084183	0.0429
R-squared	0.218067	Mean dependent var	1.604136
Adjusted R-squared	0.183314	S.D. dependent var	0.615075
S.E. of regression	0.555848	Akaike info criterion	1.723817
Sum squared resid	13.90350	Schwarz criterion	1.840767
Log likelihood	-38.37160	Hannan-Quinn criter.	1.768012
F-statistic	6.274832	Durbin-Watson stat	1.899313
Prob(F-statistic)	0.003947
Inverted MA Roots	-.19+.52i	-.19-.52i

133

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travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

Date: 05/10/10 Time: 11:17 Sample: 2005M01 2008M12 Included observations: 48

Convergence achieved after 13 iterations

MA Backcast: 2004M10	2004M12
Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.638999	0.174563 9.389140	0.0000
MA(1)	0.421369	0.145450 2.897004	0.0059		MA(2)
0.513749	0.147268 3.488538	0.0011	MA(3)
0.268678	0.152973 1.756374	0.0860
R-squared	0.243721	Mean dependent var	1.604136
Adjusted R-squared	0.192156	S.D. dependent var	0.615075
S.E. of regression	0.552830	Akaike info criterion	1.732125
Sum squared resid	13.44735	Schwarz criterion	1.888058
Log likelihood	-37.57099	Hannan-Quinn criter.	1.791052
F-statistic	4.726523	Durbin-Watson stat	1.965434
Prob(F-statistic)	0.006057
Inverted MA Roots	.03-.74i	.03+.74i -.49

134

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

Date: 05/10/10 Time: 11:18 Sample: 2005M01 2008M12 Included observations: 48

Convergence achieved after 35 iterations

MA Backcast: 2004M09 2004M12

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.645445	0.191155 8.607900	0.0000
MA(1)	0.452147	0.153208 2.951199	0.0051		MA(2)
0.561550	0.169346 3.315986	0.0019	MA(3)
0.324430	0.171569 1.890965	0.0654	MA(4)
0.046320	0.161461 0.286881	0.7756
R-squared	0.244192	Mean dependent var	1.604136
Adjusted R-squared	0.173884	S.D. dependent var	0.615075
S.E. of regression	0.559048	Akaike info criterion	1.773169
Sum squared resid	13.43898	Schwarz criterion	1.968085
Log likelihood	-37.55604	Hannan-Quinn criter.	1.846828
F-statistic	3.473181	Durbin-Watson stat	1.999096
Prob(F-statistic)	0.015196
Inverted MA Roots	.07-.75i	.07+.75i -.22	-.38

135

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

+ Tableau 2.10 : estimation du processus ARMA (p,q) par la méthode MCO

ARMA(1,0) de la série de rendement

Dependent Variable: REND

Method: Least Squares

Date: 05/10/10 Time: 11:14

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments Convergence achieved after 3 iterations

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.626358	0.149719 10.86277	0.0000
AR(1)	0.450498	0.135964 3.313366	0.0018
R-squared	0.196118	Mean dependent var	1.608733
Adjusted R-squared	0.178254	S.D. dependent var	0.620891
S.E. of regression	0.562839	Akaike info criterion	1.729974
Sum squared resid	14.25544	Schwarz criterion	1.808704
Log likelihood	-38.65440	Hannan-Quinn criter.	1.759601
F-statistic	10.97840	Durbin-Watson stat	2.056127
Prob(F-statistic)	0.001826
Inverted AR Roots	.45

136

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

Sample (adjusted): 2005M02 2008M12

Included observations: 47 after adjustments

Convergence achieved after 6 iterations

MA Backcast: 2005M01

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.643209	0.169261 9.708140	0.0000
AR(1)	0.593637	0.263616 2.251904	0.0294
MA(1)	-0.185154	0.317686 -0.582821	0.5630
R-squared	0.202620	Mean dependent var	1.608733
Adjusted R-squared	0.166376	S.D. dependent var	0.620891
S.E. of regression	0.566892	Akaike info criterion	1.764407
Sum squared resid	14.14014	Schwarz criterion	1.882501
Log likelihood	-38.46356	Hannan-Quinn criter.	1.808847
F-statistic	5.590363	Durbin-Watson stat	1.951621
Prob(F-statistic)	0.006865
Inverted AR Roots	.59
Inverted MA Roots	.19

137

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments Convergence achieved after 30 iterations

MA Backcast: 2004M12	2005M01
Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.628843	0.164336 9.911650	0.0000
AR(1)	0.221043	0.316911 0.697493	0.4892
MA(1)	0.169719	0.284822 0.595877	0.5544		MA(2)
0.413889	0.156674 2.641717	0.0115
R-squared	0.247255	Mean dependent var	1.608733
Adjusted R-squared	0.194738	S.D. dependent var	0.620891
S.E. of regression	0.557165	Akaike info criterion	1.749355
Sum squared resid	13.34862	Schwarz criterion	1.906814
Log likelihood	-37.10984	Hannan-Quinn criter.	1.808608
F-statistic	4.708095	Durbin-Watson stat	1.934337
Prob(F-statistic)	0.006274
Inverted AR Roots	.22
Inverted MA Roots	-.08-.64i	-.08+.64i

138

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments Convergence achieved after 37 iterations

MA Backcast: 2004M11	2005M01
Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.844815	0.141639 13.02476	0.0000
AR(1)	0.884596	0.076870 11.50771	0.0000
MA(1)	-0.636796	0.170541 -3.733981	0.0006		MA(2)
-0.112171	0.180765 -0.620537	0.5383	MA(3)
-0.198003	0.157951 -1.253572	0.2169
R-squared	0.344105	Mean dependent var	1.608733
Adjusted R-squared	0.281639	S.D. dependent var	0.620891
S.E. of regression	0.526243	Akaike info criterion	1.654182
Sum squared resid	11.63115	Schwarz criterion	1.851007
Log likelihood	-33.87328	Hannan-Quinn criter.	1.728249
F-statistic	5.508667	Durbin-Watson stat	1.985102
Prob(F-statistic)	0.001171
Inverted AR Roots	.88
Inverted MA Roots	.97	-.16+.42i -.16-.42i

139

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

+ Tableau 2.11 : effet de l'excès de confiance sur la volatilité conditionnelle des

rendements mensuels du marché (Période : 01 Janvier 2005- 31Décembre 2008)

Dependent Variable: RT

Method: ML - ARCH (Marquardt) - Generalized error distribution (GED) Date: 05/26/10 Time: 13:50

Sample (adjusted): 2005M02 2008M11

Included observations: 46 after adjustments

Convergence achieved after 11 iterations

Presample variance: backcast (parameter = 0.7)

LOG(GARCH) = C(4) + C(5)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(6) *RESID(-1)/@SQRT(GARCH(-1)) + C(7)*LOG(GARCH(-1)) + C(8)*EC + C(9)*NEC

Coefficient Std. Error z-Statistic Prob.

GARCH 3.185270 0.851250 3.741872 0.0002

C 0.382515 0.024292 15.74632 0.0000

AR(1) 0.174814 0.018639 9.379135 0.0000

Variance Equation

C(4) -2.275020 0.176279 -12.90577 0.0000

C(5) -0.148661 0.058743 -2.530695 0.0114

C(6) -0.129758 0.052386 -2.476936 0.0133

C(7) -0.162290 0.024673 -6.577727 0.0000

C(8) -70.82283 3.801153 -18.63193 0.0000

C(9) 0.494269 0.196618 2.513855 0.0119

GED PARAMETER 0.261403 0.055364 4.721502 0.0000

R-squared 0.909826 Mean dependent var 1.591564

Adjusted R-squared 0.887282 S.D. dependent var 0.616368

S.E. of regression 0.206936 Akaike info criterion -0.817216

Sum squared resid 1.541617 Schwarz criterion -0.419685

Log likelihood 28.79597 Hannan-Quinn criter. -0.668299

F-statistic 40.35850 Durbin-Watson stat 1.601845

Prob(F-statistic) 0.000000

140

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

modèle avec tendance et constante « en niveau »

Null Hypothesis: RMT has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.939672 0.0011

Test critical values: 1% level -4.165756

5% level -3.508508

10% level -3.184230

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(RMT)

Method: Least Squares

Date: 05/22/10 Time: 21:49

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
RMT(-1) C @TREND(2005M01)	-0.714581 0.008679 -0.000220	0.144662 -4.939672 0.010754 0.807034 0.000388 -0.566927	0.0000 0.4240 0.5736
R-squared	0.357206	Mean dependent var	-0.000322
Adjusted R-squared	0.327988	S.D. dependent var	0.043877
S.E. of regression	0.035969	Akaike info criterion	-3.750641
Sum squared resid	0.056924	Schwarz criterion	-3.632547
Log likelihood	91.14007	Hannan-Quinn criter.	-3.706201
F-statistic	12.22556	Durbin-Watson stat	1.876243
Prob(F-statistic)	0.000060

141

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

marché : modèle avec constante « en niveau »

Null Hypothesis: RMT has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.949662 0.0002

Test critical values: 1% level -3.577723

5% level -2.925169

10% level -2.600658

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(RMT)

Method: Least Squares

Date: 05/22/10 Time: 21:52

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
RMT(-1)	-0.708900	0.143222 -4.949662	0.0000
C	0.003374	0.005260 0.641442	0.5245
R-squared	0.352510	Mean dependent var	-0.000322
Adjusted R-squared	0.338121	S.D. dependent var	0.043877
S.E. of regression	0.035696	Akaike info criterion	-3.785916
Sum squared resid	0.057340	Schwarz criterion	-3.707187
Log likelihood	90.96903	Hannan-Quinn criter.	-3.756290
F-statistic	24.49915	Durbin-Watson stat	1.871484
Prob(F-statistic)	0.000011

142

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

modèle sans tendance ni constante « en niveau »

Null Hypothesis: RMT has a unit root

Exogenous: None

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.940016 0.0000

Test critical values: 1% level -2.615093

5% level -1.947975

10% level -1.612408

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(RMT)

Method: Least Squares

Date: 05/22/10 Time: 21:52

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
RMT(-1)	-0.695860	0.140862 -4.940016	0.0000
R-squared	0.346590	Mean dependent var	-0.000322
Adjusted R-squared	0.346590	S.D. dependent var	0.043877
S.E. of regression	0.035467	Akaike info criterion	-3.819368
Sum squared resid	0.057865	Schwarz criterion	-3.780003
Log likelihood	90.75514	Hannan-Quinn criter.	-3.804555
Durbin-Watson stat	1.875073

143

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

modèle avec tendance et constante « en niveau »

Null Hypothesis: CSADT has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.012242 0.0149

Test critical values: 1% level -4.165756

5% level -3.508508

10% level -3.184230

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(CSADT)

Method: Least Squares

Date: 05/22/10 Time: 21:57

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
CSADT(-1) C @TREND(2005M01)	-0.535679 0.023348 9.45E-05	0.133511 -4.012242 0.009602 2.431630 0.000301 0.314152	0.0002 0.0192 0.7549
R-squared	0.269695	Mean dependent var	0.000336
Adjusted R-squared	0.236499	S.D. dependent var	0.031533
S.E. of regression	0.027553	Akaike info criterion	-4.283725
Sum squared resid	0.033403	Schwarz criterion	-4.165630
Log likelihood	103.6675	Hannan-Quinn criter.	-4.239285
F-statistic	8.124395	Durbin-Watson stat	2.021166
Prob(F-statistic)	0.000993

144

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

modèle avec constante « en niveau »

Null Hypothesis: CSADT has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.059579 0.0026

Test critical values: 1% level -3.577723

5% level -2.925169

10% level -2.600658

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(CSADT)

Method: Least Squares

Date: 05/22/10 Time: 21:58

Sample (adjusted): 2005M02 2008M12 Included observations: 47 after adjustments

	Coefficient	Std. Error t-Statistic	Prob.
CSADT(-1)	-0.528398	0.130161 -4.059579	0.0002
C	0.025272	0.007319 3.453198	0.0012
R-squared	0.268057	Mean dependent var	0.000336
Adjusted R-squared	0.251791	S.D. dependent var	0.031533
S.E. of regression	0.027275	Akaike info criterion	-4.324038
Sum squared resid	0.033478	Schwarz criterion	-4.245308
Log likelihood	103.6149	Hannan-Quinn criter.	-4.294411
F-statistic	16.48018	Durbin-Watson stat	2.031446
Prob(F-statistic)	0.000194

145

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

+ Tableau 3.8: Ecart-type transversal absolu et comportement grégaire

(Période : 01 Janvier 2005- 31 Décembre 2008)

Dependent Variable: CSADT Method: Least Squares

Date: 05/22/10 Time: 22:03 Sample: 2005M01 2008M12 Included observations: 48

CSADT=C(1)+C(2)*ABS(RMT)+C(3)*RMT^{^}2

Variable	Coefficient	Std. Error t-Statistic	Prob.
C(1) C(2) C(3)	0.026645 0.698285 1.935946	0.005661 4.707131 0.413730 1.687779 4.726152 0.409624	0.0000 0.0984 0.6840
R-squared	0.554798	Mean dependent var	0.046920
Adjusted R-squared	0.535011	S.D. dependent var	0.030625
S.E. of regression	0.020883	Akaike info criterion	-4.839296
Sum squared resid	0.019625	Schwarz criterion	-4.722346
Log likelihood	119.1431	Hannan-Quinn criter.	-4.795100
F-statistic	28.03887	Durbin-Watson stat	1.468483
Prob(F-statistic)	0.000000

146

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

+ Tableau 3.9: Estimation du comportement grégaire dans les marchés boursiers

tunisien haussier et baissier

Le marché boursier tunisien haussier

Dependent Variable: CSADT

Method: Least Squares

Date: 05/24/10 Time: 09:24

Sample: 1 28

Included observations: 28

CSADT=C(1)+C(2)*ABS(RMT)+C(3)*RMT^{^}2

Variable	Coefficient	Std. Error t-Statistic	Prob.
C(1) C(2) C(3)	0.028329 1.082235 -8.003066	0.006605 4.289302 0.526320 2.056231 6.358469 -1.258647	0.0002 0.0503 0.2198
R-squared	0.378326	Mean dependent var	0.045965
Adjusted R-squared	0.328593	S.D. dependent var	0.018985
S.E. of regression	0.015557	Akaike info criterion	-5.387715
Sum squared resid	0.006050	Schwarz criterion	-5.244979
Log likelihood	78.42801	Hannan-Quinn criter.	-5.344079
F-statistic	7.607017	Durbin-Watson stat	1.312408
Prob(F-statistic)	0.002627

147

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

Le marché boursier tunisien baissier

Dependent Variable: CSADT

Method: Least Squares

Date: 05/24/10 Time: 09:26

Sample: 1 20

Included observations: 20

CSADT=C(1)+C(2)* ABS(RMT)+C(3)*RMT^{^}2

Variable	Coefficient	Std. Error t-Statistic	Prob.
C(1) C(2) C(3)	0.016722 1.165808 1.915700	0.007272 2.299479 0.508576 2.292300 5.496555 0.348527	0.0344 0.0349 0.7317
R-squared	0.810549	Mean dependent var	0.048258
Adjusted R-squared	0.788261	S.D. dependent var	0.042480
S.E. of regression	0.019547	Akaike info criterion	-4.894476
Sum squared resid	0.006496	Schwarz criterion	-4.745116
Log likelihood	51.94476	Hannan-Quinn criter.	-4.865320
F-statistic	36.36660	Durbin-Watson stat	1.665378
Prob(F-statistic)	0.000001

+ Tableau 3.10: Estimation du comportement grégaire durant les périodes de fort et

faible volume de transactions sur le marché boursier tunisien

Fort volume de transactions sur le marché boursier tunisien

Dependent Variable: CSADT

Method: Least Squares

Date: 05/24/10 Time: 09:35

Sample (adjusted): 1 22

Included observations: 22 after adjustments CSADT=C(1)+C(2)*ABS(RMT)+C(3)*RMT^{^}2

Variable	Coefficient	Std. Error t-Statistic	Prob.
C(1) C(2) C(3)	0.028042 0.554958 4.390150	0.011127 2.520083 0.701298 0.791330 7.438069 0.590227	0.0208 0.4385 0.5620
R-squared	0.585401	Mean dependent var	0.054959
Adjusted R-squared	0.541759	S.D. dependent var	0.038630
S.E. of regression	0.026150	Akaike info criterion	-4.323832
Sum squared resid	0.012992	Schwarz criterion	-4.175054
Log likelihood	50.56216	Hannan-Quinn criter.	-4.288785
F-statistic	13.41370	Durbin-Watson stat	2.214351
Prob(F-statistic)	0.000233

148

L'énigme de volatilité excessive des cours boursiers : Explication par la finance comportementale à

travers l'excès de confiance et le comportement grégaire.
« Validation empirique sur la BVMT »

Faible volume de transactions sur le marché boursier tunisien

Dependent Variable: CSADT

Method: Least Squares

Date: 05/24/10 Time: 09:38

Sample: 1 25

Included observations: 25

CSADT=C(1)+C(2)*ABS(RMT)+C(3)*RMT^{^}2

Variable	Coefficient	Std. Error t-Statistic	Prob.
C(1) C(2) C(3)	0.020427 1.617475 -13.94165	0.005896 3.464440 0.531712 3.042015 7.192320 -1.938407	0.0022 0.0060 0.0655
R-squared	0.508932	Mean dependent var	0.040990
Adjusted R-squared	0.464289	S.D. dependent var	0.020025
S.E. of regression	0.014657	Akaike info criterion	-5.495696
Sum squared resid	0.004726	Schwarz criterion	-5.349431
Log likelihood	71.69620	Hannan-Quinn criter.	-5.455128
F-statistic	11.40015	Durbin-Watson stat	1.614857
Prob(F-statistic)	0.000400

+ Tableau 3.11: Estimation du comportement grégaire durant les périodes de forte

et faible volatilité sur le marché boursier tunisien

Forte volatilité sur le marché boursier tunisien

Dependent Variable: CSADT

Method: Least Squares

Date: 05/24/10 Time: 12:29

Sample: 1 14

Included observations: 14

CSADT=C(1)+C(2)*ABS(RMT)+C(3)*RMT^{^}2

Variable	Coefficient	Std. Error t-Statistic	Prob.
C(1) C(2) C(3)	0.136819 -2.992282 29.78506	0.090425 1.513067 2.855325 -1.047965 21.20297 1.404759	0.1585 0.3171 0.1877
R-squared	0.399241	Mean dependent var	0.076183
Adjusted R-squared	0.290012	S.D. dependent var	0.034976
S.E. of regression	0.029471	Akaike info criterion	-4.023386
Sum squared resid	0.009554	Schwarz criterion	-3.886445
Log likelihood	31.16370	Hannan-Quinn criter.	-4.036063
F-statistic	3.655083	Durbin-Watson stat	1.919359
Prob(F-statistic)	0.060653

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Faible volatilité sur le marché boursier tunisien

Dependent Variable: CSADT

Method: Least Squares

Date: 05/24/10 Time: 12:25

Sample: 1 34

Included observations: 34

CSADT=C(1)+C(2)*ABS(RMT)+C(3)*RMT^{^}2

Variable	Coefficient	Std. Error t-Statistic	Prob.
C(1) C(2) C(3)	0.026610 -0.194768 69.53997	0.007279 3.655846 1.244769 -0.156469 44.83511 1.551016	0.0009 0.8767 0.1310
R-squared	0.390156	Mean dependent var	0.034871
Adjusted R-squared	0.350811	S.D. dependent var	0.018465
S.E. of regression	0.014878	Akaike info criterion	-5.493817
Sum squared resid	0.006862	Schwarz criterion	-5.359138
Log likelihood	96.39489	Hannan-Quinn criter.	-5.447887
F-statistic	9.916345	Durbin-Watson stat	1.959261
Prob(F-statistic)	0.000469

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