Abstract : This document treats about questions relating to the dynamic of financial asset prices. Namely, three points are invested. First, are financial markets efficient? We show that markets are efficient only in mean. That's why it was difficult to respond by yes or no to this problematic. In the second step, we see the implication of 'market efficiency in mean' in terms of modelling at the macroeconomic level? We show that, under certain hypotheses, the dynamic of the log of asset prices belongs to the class of the auto-regressive models with stochastic coefficients. Finally, we propose two applications. The first one concerns the creation of investment strategies that can beat the Buy and Hold strategy or the moving average strategies. The second application consists in extending the GARCH model by allowing stochastic coefficients.