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What moves markets?

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  • Kerssenfischer, Mark
  • Schmeling, Maik

Abstract

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, spillover effects between the US and euro area, and the predictability of monetary policy shocks.

Suggested Citation

  • Kerssenfischer, Mark & Schmeling, Maik, 2024. "What moves markets?," Journal of Monetary Economics, Elsevier, vol. 145(C).
    • Handle: RePEc:eee:moneco:v:145:y:2024:i:c:s0304393224000138
    DOI: 10.1016/j.jmoneco.2024.103560
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    Cited by:

    1. Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.

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    More about this item

    Keywords

    Macro news; Asset prices; High-frequency identification; Event database; Monetary policy;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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