So Many Jumps, So Few News

Yacine Ait-Sahalia, Chen Xu Li and Chenxu Li

No 32746, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news, in the form of machine-readable releases from Thomson Reuters News Analytics. We find that most relevant news, both idiosyncratic and systematic, lead quickly to price jumps, as market efficiency suggests they should. However, in the reverse direction, the vast majority of price jumps do not have identifiable public news that can explain them, in a departure from the ideal of a fair, orderly and efficient market. Microstructure-driven variables have only limited predictive power to help distinguish between jumps with and without news.

JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2024-07
New Economics Papers: this item is included in nep-big, nep-fdg, nep-fmk and nep-mst
Note: AP
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