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Cet article a pour but de tester économétriquement la notion d’efficience de marché à travers l’analyse de la structure de dépendance des rendements des indices d’actions. À cette fin, six méthodes d’estimations ont été utilisées pour obtenir l’exposant de Hurst, partant de l’approche classique “R/S”, poursuivant avec les modèles ARFIMA et concluant par la méthode des ondelettes. Nous avons étudié la présence potentielle d’une mémoire longue ou courte dans douze marchés et trois périodes (1960-2013), (1980-2013) et (1990-2013). Nos conclusions dépendent du degré de maturité financière des marchés: la plupart des marchés émergents exhibent une mémoire alors que les marchés plus matures montrent une absence ou une très courte mémoire.

This article studies the factors which influence market valuation of Russian listed firms. Several financial metrics and corporate governance indicators are analysed. Emphasis is given to multicollinearity and cause-and-effect relationships between independent variables. Main results show that there is no significant correlation between the fundamental financial indicators and the Tobin’s Q. However, state ownership, concentration of capital and size are negatively associated with the firm valuation. The evidence suggests that the costs of government ownership outweigh its benefits. JEL classification: G15, G14, C22, F23

The energy financial products prices could be affected by herding behavior, speculation and also by supply and demand of the physical assets. This situation is likely to generate economic cycles and a rejection of the efficiency market hypothesis. Then, the aim of this paper is to check the presence of memory in the energy Futures prices. We calculate a useful parameter the "Hurst coefficient", by using a specific tool coming from the signal theory, the wavelet decomposition. Our findings with rolling regressions are that most markets, since the beginning of 90ties, are in a process of maturity and show less and less memory of any type (short or long). Electricity displays long memory, whereas the crude oil markets present some short memory.

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