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

Author

Listed:
  • Aymen Belgacem

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

L'objectif de cet article est de déceler l'éventuel effet des annonces > de la Bce et de la Fed sur les cours boursiers. Pour ce faire, nous étudions cet effet sur la rentabilité et la volatilité conditionnelle des actions composant le CAC 40. Notre étude montre que des rentabilités anormales sont observées quelques jours avant les réunions des conseils de la Bce et de la Fed, suite à la publication d'autres annonces macroéconomiques. Elle montre en outre que ces dernières créent un mouvement sur le marché français qui perdure jusqu'à la publication des taux de la politique monétaire où on assiste à une diminution de la volatilité et un effet stabilisateur.

Suggested Citation

  • Aymen Belgacem, 2008. "L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40," Working Papers hal-04140714, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140714
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140714
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