Equity market reaction to macroeconomic announcements: the case of the French stock market.

Summary This thesis is devoted to the study of the impact of French and American macroeconomic announcements on the French equity market. The approach followed consists in combining theoretical and empirical approaches in order to empirically highlight the economic transmission channels through which macroeconomic announcements can act on stock markets. The first part consists in studying the impact of announcements concerning the real economy on the main characteristics of the stock market, namely profitability and volatility. According to the results obtained, the impact of macroeconomic announcements involves a revaluation - sometimes simultaneous - of the various theoretical components of stock market profitability. Moreover, the impact of the announcements is not only a direct effect on the French stock market, but also the result of a transmission of volatility from the American market to the French market. The second part is devoted to the study of the impact of Fed and ECB monetary policy announcements on the French stock market, according to financial cycles. According to the results obtained, the reaction of the French stock market is more marked during periods of decline than during periods of increase. Moreover, it turns out that the impact of US monetary policy on the French stock market is partly mediated by the risk premium. This thesis has thus provided new results compared to the literature and has shown that the impact of macroeconomic announcements on stock markets is complex and requires going beyond classical event studies.