Efficiency, anomalies and stock market dynamics.

Summary The history of financial markets is marked by recurrent scandals and crises. The one that started in 2007 and its aftershock in 2010, which turned into a public debt crisis, raises major questions about the advantages and disadvantages of the global financial system. The objective of this thesis is to analyze the existing anomalies in the stock markets. We seek to answer the following questions: Is the theory of efficient markets still true? What are the anomalies? How can we explain the sources of dysfunction and the deviations of prices from their fundamentals? What are the consequences of these dysfunctions on the dynamics of stock prices? Our contribution lies in the explanation of the dysfunction of stock markets through the study of their microstructure. We also draw on behavioral finance and the Keynesian theoretical framework. In addition, we analyze the theory of financial market efficiency and the standard empirical approaches that test it. We then examine the limitations of this theory and the anomalies observed in the market, while proposing both micro and macro explanations. Finally, we justify the use of non-linear processes to understand stock price dynamics.