Le vertige des bourses mondiales

Le plongeon enregistré par les places financières mondiales le 9 août dernier, après l’annonce du gel de trois fonds par BNP Paribas, est un nouvel exemple de la récente instabilité à la baisse, ou de la tendance asymétrique négative, des marchés. En d’autres termes, les marchés se montrent plus sensibles à des plongeons soudains qu’à des flambées soudaines. De manière inhabituelle, les cours à la moyenne mobile à 100 jours clôturant le 3 ao_51ût ont été négativement asymétriques en Allemagne, Argentine, Australie, Brésil, Canada, Chine, États-Unis, France, Inde, Japon, Corée du Sud, Mexique et au Royaume-Uni.

Aux États-Unis, par exemple, l’indice élargi Standard’s and Poor 500 a enregistré en juillet six jours de baisse contre seulement trois jours de hausse de plus de 1%. En juin, l’indice a chuté sur 4 jours de plus de 1% et augmenté de plus de 1% sur 2 jours. En remontant dans le temps, on peut noter un très fort repli de 3,5% en un jour, le 27 février 2007, et aucun rebond sensible.

La baisse du 27 février a été provoquée par une chute de 8,8% en un jour de l’indice composite de la Bourse de Shanghai, lorsque le gouvernement chinois a annoncé que les plus-values seraient plus fortement taxées. Cette nouvelle, qui aurait dû n’affecter que la Chine, a entraîné un fléchissement de toutes les places financières mondiales. La Bovespa au Brésil a par exemple reculé de 6,6% le 27 février, et la BSE 30 en Inde, de 4% le jour suivant. Par la suite, les marchés ont lentement et progressivement récupéré.

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