What Triggers Stock Market Jumps?

Scott Baker, Nicholas Bloom, Steven Davis and Marco C. Sammon

No 28687, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We examine next-day newspaper accounts of large daily jumps in 19 national stock markets to assess their proximate cause, clarity as to cause, and geographic source. Our sample of over 8,000 jumps, reaching back to 1900 for the United States, yields several novel findings. First, news about monetary policy and government spending triggers twice as many upward jumps as downward ones and a highly disproportionate share of all upward jumps. Second, upward jumps due to monetary policy and government spending are much more frequent after a stock market crash. In this sense, the “Fed put” emerged decades before the 1990s, extends to other central banks, and characterizes fiscal policy as well. Third, greater perceived clarity about the reason for a jump foreshadows lower market volatility. Clarity trends up over the past century and is unusually high for jumps triggered by monetary policy. Fourth, leading newspapers attribute 38 percent of jumps in their own national stock markets to US economic and policy developments. The US role in this regard dwarfs that of Europe and China.

JEL-codes: E44 E52 E62 F36 G12 G18 (search for similar items in EconPapers)
Date: 2021-04
New Economics Papers: this item is included in nep-cwa, nep-fmk and nep-mac
Note: AP EFG IFM ME
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.nber.org/papers/w28687.pdf (application/pdf)

Related works:
Working Paper: What triggers stock market jumps? (2021)
Working Paper: What triggers stock market jumps? (2021)
Working Paper: What triggers stock market jumps? (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:28687

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w28687

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().