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Explaining the Stock Market's Reaction to Macroeconomic Announcements

Author

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  • Aymen Belgacem

    (LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper aims to study the impact of macroeconomic announcements on stock returns. More specifically, it intends to measure the average response of the French stock market and to provide some theoretical explanations regarding the sources of this reaction. Using intraday data, the study shows that, according to previous studies, there is a little evidence of market reactions to those surprises. This result may be explained partly by the simultaneous revision of future cash flows and future interest rates, which renders the net effect on equities insignificantly different from zero.

Suggested Citation

  • Aymen Belgacem, 2013. "Explaining the Stock Market's Reaction to Macroeconomic Announcements," Post-Print halshs-01064891, HAL.
    • Handle: RePEc:hal:journl:halshs-01064891
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01064891
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    Cited by:

    1. Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.

    More about this item

    Keywords

    Asset Prices; Macroeconomic Announcements; Event Study; Present Value Model;
    All these keywords.

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