BOURSE
MYSTÉRIEUSE CHUTE
7 mai 2010
http://www.radio-canada.ca/nouvelles/Economie/2010/05/07/013-chute-bourse.shtml#commentaires
Sept cents milliards de dollars américains partis en fumée en quelques minutes. C'est ce qui s'est passé à la Bourse de New York jeudi, quand le Dow Jones a subitement plongé de 9 %, avant de remonter pour finir en recul de 3,20 %.
Au lendemain de cette chute, les autorités s'interrogent. La Securities and Exchange Commission et la Commodity Futures Trading Commission, deux régulateurs boursiers américains, ont annoncé vendredi qu'ils allaient enquêter.
Le président américain, Barack Obama, s'en est mêlé. Il a déclaré vendredi que les régulateurs boursiers allaient « protéger les investisseurs et faire en sorte que cela ne se reproduise pas ».
Une erreur humaine?
Les regards se tournent en partie vers l'action de Procter & Gamble, le fabricant de nombreux produits ménagers dont la lessive Tide, qui a perdu 37 % dans la chute.
Un courtier de Citigroup aurait commis une double faute : passer un ordre de vente sur l'action de l'entreprise au lieu d'une autre transaction sur des produits dérivés, en inscrivant milliards au lieu de millions.
L'action faisant partie de l'indice Dow Jones, ce dernier a lui aussi plongé. D'autres poids lourds de la bourse comme 3M et Accenture ont aussi subi une perte vertigineuse, dans un lien de causalité qui reste à éclaircir.
La banque Citigroup a refusé de confirmer cette hypothèse. Le Chicago Mercantile Exchange, où tout aurait commencé, semble corroborer cette version en affirmant dans un communiqué que « l'activité de Citigroup sur le marché des produits dérivés ne semble pas irrégulière ou inhabituelle par rapport à l'activité du marché ».
Des ordinateurs plus rapides que les humains?
Le mouvement de panique aurait été amplifié par les ordinateurs d'échanges à haute fréquence, qui représentent aujourd'hui de 50 à 75 % des transactions boursières. Programmés pour réagir à partir d'un certain niveau de baisse des cours, ceux-ci auraient augmenté la tendance à la vente.
Le Wall Street Journal nuance toutefois cette hypothèse en avançant que plusieurs poids lourds des systèmes d'échange à haute fréquence se seraient retirés du marché lorsqu'il s'est emballé.
Le quotidien ajoute qu'une sorte de disjoncteur, le « liquidity replenishment point », s'est activé lorsque le cours de cette action est tombé trop bas. Les échanges électroniques se sont alors arrêtés, laissant la possibilité aux courtiers de se pencher sur la situation.
Les craintes au sujet des finances grecques et d'autres pays européens ont aussi pu jouer un effet accélérateur, alors que les marchés se montrent nerveux.
Des transactions annulées
Le Nasdaq, dont l'indice a lui aussi dévissé, a annoncé l'annulation de toutes les transactions qui ont eu lieu entre 14 h 40 et 15 h.
L'Organisme canadien de réglementation du commerce des valeurs mobilières a lui aussi annoncé vendredi l'annulation ou la modification de plusieurs opérations qui ont eu lieu entre 14 h 40 et 15 h 10. Les titres concernés sont Claymore Canadian Financial Monthly Income, Fortis, Ishares et Inter Pipeline Fund.
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Market Madness: A Post-Mortem (en anglais)
The New York Times - 7 mai 2010
Did Shutdowns Make Plunge Worse? (en anglais) [pour les abonnés payants]
The Wall Street Journal - 7 mai 2010
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MARKET MADNESS: A POST-MORTEM
Chris V. Nicholson
The New York Times
May 7, 2010, 5:16 am
http://dealbook.blogs.nytimes.com/2010/05/07/market-madness-a-post-mortem/?src=busln
After great pain, the formal statements come. Regulators, stock exchanges, banks and senators rushed to address the causes and possible solutions of Thursday’s show-stopping market volatility in the wake of a 1,000-point drop and rapid, partial rebound.
The Securities and Exchange Commission and its sister agency the Commodity Futures Trading Commission said in a joint statement that they were working with exchanges to protect investors and looking into “the unusual trading activity,” which one source told The New York Times had started in Chicago.
The Chicago Mercantile Exchange, for its part, went against its own policy not to comment on rumors, and issued a statement saying “activity by Citigroup Global Markets Inc. in CME Group stock index futures markets does not appear to be irregular or unusual in light of market activity.”
The exchange’s statement matched Citigroup’s denial, as unconfirmed reports were circulated of an error by a Citi trader, and as markets more generally sought to pin the blame for the brief and death-defying dives of certain shares on Thursday afternoon.
Nevertheless, one or more mistakes may have been at the source of the sudden sell-off. Rich Adamonis, a spokesman for NYSE Euronext, said “there were a number of erroneous trades,” according to Bloomberg News. “Our guys just told me Nasdaq is investigating the erroneous trades. What happened today in P&G for instance, the bad print was on Nasdaq, not here,” he said, referring to Procter & Gamble, whose stocks were among those hit.
The Nasdaq said in a statement that there had been “no technology or system issues associated with the trading that occurred between 2:00 and 3:00 p.m.” and that there was “no indication at this time that a Nasdaq market participant experienced a technological failure.”
The exchange went further to say it would cancel all trades that were off the money by 60 percent or more (here is a list of the stocks affected):
Nasdaq, on its own motion, will cancel all trades executed between 14:40:00 and 15:00:00 greater than or less than 60% away from the consolidated last print in that security at 14:40:00 or immediately prior. This decision cannot be appealed.
A decision that, perversely, punishes market participants who acted quickly, and rewards those who reacted late.
While people were quick to blame high-frequency trading for the speed and depth of the plunge, The Wall Street Journal points out that a number of high-frequency traders, whose business accounts for up to 70 percent of trading volume, simply withdrew from a market they did not understand and which their formulas were not prepared to operate in.
On the one hand, in this case, they cannot be blamed for participating in a feedback loop that sells more and more as share prices fall; on the other, their withdrawal meant that liquidity (that is, demand) dried up, and those who wanted to sell could find no buyers and no sale at any price, a situation that one former sales trader referred to on Twitter as a “black freaking hole.”
Shares weren’t the only securities to get hit. Exchange-traded funds, like the iShares Russell 1000 Value Index Fund, were affected as well; its price traced the same downward spike that traumatized shares like Procter & Gamble, or 3M.
Various market commentators made the point that, while human error may have triggered the volatility, algorithmic trading in some form probably fanned the flames, but that regulators had little clarity on what exactly happened.
Senator Ted Kaufman, Democrat of Delaware, immediately urged lawmakers and regulators to scrutinize high-frequency trading, saying:
The potential for giant high-speed computers to generate false trades and create market chaos reared its head again today. The battle of the algorithms – not understood by nor even remotely transparent to the Securities and Exchange Commission – simply must be carefully reviewed and placed within a meaningful regulatory framework soon.
While he may be right, the other lesson to draw from the plunge is simply that when markets are scared, and fundamental shifts afoot, they don’t need machines to arrange a sell-off. Pure, unadulterated fear will do the trick.
Il y a 7 ans
