| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28687 |
| 来源ID | Working Paper 28687 |
| What Triggers Stock Market Jumps? | |
| Scott R. Baker; Nicholas Bloom; Steven J. Davis; Marco C. Sammon | |
| 发表日期 | 2021-04-19 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We examine next-day newspaper accounts of large daily jumps in 16 national stock markets to assess their proximate cause, clarity as to cause, and the geographic source of the market-moving news. Our sample of 6,200 market jumps yields several findings. First, policy news – mainly associated with monetary policy and government spending – triggers a greater share of upward than downward jumps in all countries. Second, the policy share of upward jumps is inversely related to stock market performance in the preceding three months. This pattern strengthens in the postwar period. Third, market volatility is much lower after jumps triggered by monetary policy news than after other jumps, unconditionally and conditional on past volatility and other controls. Fourth, greater clarity as to jump reason also foreshadows lower volatility. Clarity in this sense has trended upwards over the past century. Finally, and excluding U.S. jumps, leading newspapers attribute one-third of jumps in their own national stock markets to developments that originate in or relate to the United States. The U.S. role in this regard dwarfs that of Europe and China. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Fiscal Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w28687 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586359 |
| 推荐引用方式 GB/T 7714 | Scott R. Baker,Nicholas Bloom,Steven J. Davis,et al. What Triggers Stock Market Jumps?. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28687.pdf（6912KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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