Quelle convergence pour les primes de risque sur les marchés boursiers? Une analyse sur des données internationales de 1984 à 2007

Rafik Abdesselam (), Sylvie Lecarpentier-Moyal () and Patricia Renou-Maissant
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Rafik Abdesselam: COACTIS - COnception de l'ACTIon en Situation - UL2 - Université Lumière - Lyon 2 - UJM - Université Jean Monnet - Saint-Étienne
Sylvie Lecarpentier-Moyal: ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Patricia Renou-Maissant: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Abstract: The aim of this article is to empirically study the international stock markets convergence from a temporal analysis of the ex post equity risk premium (ERP) and to identify how the ERP constituents can explain the movement of convergence observed in eleven stock markets during the period 1984 to 2007. To do this, an original approach combining an analysis of the ERP convergence through a model with variable coefficients and a multidimensional analysis taking into account the constituents of ERP has been developed. The first approach identifies a phenomenon of international convergence in realized ERP with the American market. However, the process is not complete and appears to have even stopped in most European countries since the mid-1990s. In addition, the European convergence of ERP has been fully carried out between five European countries (Germany, Belgium, France, Italy and Netherlands). The second method highlights strong similarities between the European, the Canadian and the American stock markets, while the German and Swiss markets are closer to the Japanese market.

Date: 2016
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Published in Actualite Economique, 2016, 92 (3), pp.545-579. ⟨10.7202/1040001ar⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-02080139

DOI: 10.7202/1040001ar

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