Excess volatility and the French stock exchange before world war I

摘要

This paper uses real price and dividends series to investigate for the French stock market similar questions as those raised by Shiller (1989). It tries to determine in what periods and to what degree the French stock market has also possessed "excess volatility" over the last century. This market showed some level of excess volatility before the first world war. This fact evidences that the role played by the first French investment banks seemed not to have contributed to stabilise the financial market before 1914.