The asset purchase programs of the Federal Reserve and the European Central Bank, assessing their impact on the stock markets of Europe and the United States.

Different authors have quantified the impacts of a asset purchase program on the stock market. Although the Federal Reserve ended its quantitative easing policy in 2014, the European Central Bank's policy is more recent and ended in 2018. There are therefore few studies comparing the two programs. The purpose of this thesis is to fill this gap. This paper describes the quantitative easing policies implemented by European and American central banks, their contexts and specificities. The empirical research shows the correlation between government bonds and stock prices during those periods. A DCC GARCH model is applied on government bond and equity indexes. It appears that government bond prices decrease while equity prices increase during the time frames studied. The correlation is therefore impacted and declines in reaction to asset purchase programs. However, this master thesis recalls the importance of economic, political and financial events external to these programs. The latter have a significant influence on the correlation curve under consideration.