Abstract

This paper aims at containing the puzzle of heterogeneous strategies of several operators on tunisian securities market, in an asymmetric information framework. We attempt to explore to what extent unlike information does shape the reactions and behaviors when operating over such a market. Moreover, we highlight the fact that when uncertainty is ruling the market, much of its operators are irrational and accordingly their transacting loose reason and wisdom. Our objective is to test whether irrationality may lead to such an excessive volatility, which paves the way towards our empirical investigation driven on the tunisian stock market data for the period (1969-2005) through the Shiller (2001) variance bounds tests. The results show such a dramatically violation of all the three inequalities and then an excessive volatility within stock returns.

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