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L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40

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  • Aymen Belgacem

Abstract

In this paper, we investigate the impact of surprises made by scheduled monetary policy announcements on French stock market. Most of empirical studies achieved tends to test this effect on U.S stock market. Taken the French market as a representative European stock markets, we study the effect of both monetary policy signals from the ECB Council and the FOMC on the daily stock returns and volatility by using the standard event study methodology. We show that abnormal returns were observed few days before policy announcements. They coincide with the release of other macroeconomic announcements which produce uncertainty until the monetary policy announcement, that we show trigger a decrease on the volatility and a stabilizing effect.

Suggested Citation

  • Aymen Belgacem, 2008. "L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40," EconomiX Working Papers 2008-38, University of Paris Nanterre, EconomiX.
  • Handle: RePEc:drm:wpaper:2008-38
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    Keywords

    Monetary policy; Macroeconomic announcements; Event study; GARCH;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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