مجلة ريحان للنشر العلمي مجلة علمية، محكمة، شهرية، مفتوحة الوصول
This paper studies the informational shocks effect on the shares volatility in Paris stock market , using the CS90 index series since 25/01/1999 until 04/08/2014, our study is based on using statistical tests and modeling of returns with ARFIMA-GARCH models, and as a conclusion we found that the CS90 series was dependant during the period test, what mean the inefficiency of the market in short and long term, and the existing of an excessive volatility means the reaction of the market to the informational shocks, transitory in short term and enduring in long term.
Key words : Efficiency, Informational shocks, Anomalies, Random walk, longue memory, ARFIMA models, GARCH models.
Boukraa Fatima Zohra
2 Chikhi Mohamed
