How Can Economic Policy Uncertainty Affect the French Stock Market in a Data-Rich Environment?

Donia ALOUI * Assistant Professor, Université Grenoble Alpes, France et Carthage Business School, Université Tunis Carthage, Tunisie. Contact : donia.aloui@utctunisie.com.

Abderrazek BEN MAATOUG ** Full Professor, GEF2A Lab, ISG Tunis, Université de Tunis, Tunisie. Contact : abderrazak.benmaatoug@isg.rnu.tn.

We use the European economic policy uncertainty index proposed by Baker et al. (2016) to examine the effect of the dissemination of information related to economic policy in the euro zone on the behavior of investors in the French stock market. Using a FAVAR model, we show that a decrease in economic policy uncertainty has positive effects on stock prices as well as on the level of the risk premium for the French stock market.