Article pp.237-253 du Vol.1 n°2 (2009)

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Analyse des informations exogènes secondaires et mesure d’impact

sur le marché action

^*

³ Par Christophe Boya

Chercheur associé, Laboratoire LASER-TRIS, Université de Sciences Economiques Montpellier I

Résumé

Ce papier analyse l’impact des informations exogènes médiatique de presse écrite en flux continu sur les rendements du marché financier les jours de libérations d’informations et les jours autours de l’annonce. Ce travail met en place une modélisation basée sur la segmentation textuelle pour traiter les informations pertinentes médiatiques. Les liaisons de ces informations avec les données boursières s’effectuent par un modèle statistique non paramétrique basée sur les chaines de Markov. Les résultats montrent la présence d’impacts informationnels significatifs qui permettent de gagner des profits exceptionnels. L’analyse d’un flux continu isole une entreprise avec toute l’information médiatique la concernant contrairement aux études d’évènements antérieures. © 2009 Lavoisier SAS. All rights reserved

Mots clés : données médiatiques, information exogènes pertinente, statistique non paramétrique

Abstract

Analysis of the secondary dissemination of exogenous information and impact measure on stock market : The French Case. This paper analyzes media exogenous information impacts of newspapers in continue flow on stock market returns the days of information liberations and ex-days. This work put in a methodology based on textual segmentation to treat media relevant information. Relation between media and stock returns data is made by no parametric statistic model based on Markov Chains. Results show the presence of significant informational impacts which can earn exceptional profits. Analyze of a continue flow can detach one firm with all media information about it contrary to past events studies. © 2009 Lavoisier SAS. All rights reserved

Keywords: Media Data, exogenous relevant information, no parametric statistic.

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Introduction

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Le rendement anormal mesure la présence d’un écart entre le cours réel de l’actif et un cours théorique estimé par les moindres carrés ordinaires.

New York Stock Exchange.

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La coloration positive (négative) représente une bonne (mauvaise) nouvelle ; la coloration neutre une absence d’information ou une information sans coloration.

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1. Données exogènes et modèle de pondération

1.1. L’information exogène secondaire

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1.2. Le choix des données

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Recommandations d’achats ou de ventes.

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1.3. Analyse et modélisation de l’information exogène

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Annonces de résultats, divisions d’actions, recommandations, …

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1.3.1. Identification des mots clefs

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L’analyse a montré que ceci se produit dans la majorité des cas.

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(9)

2. Résultats de la modélisation statistique

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