What Moves Markets?

Kerssenfischer, Mark; Schmeling, Maik

doi:10.2139/ssrn.3933777

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What Moves Markets?

87 Pages Posted: 5 Oct 2021 Last revised: 6 Mar 2023

See all articles by Mark Kerssenfischer

Maik Schmeling

Goethe University Frankfurt - Department of Finance; Centre for Economic Policy Research (CEPR)

There are 2 versions of this paper

Date Written: March 3, 2023

Abstract

What share of asset price movements is driven by news? To find out, we combine continuous high-frequency asset price changes with a large, time-stamped event database that covers scheduled macro news as well as unscheduled events. We find that about half of all bond and stock price movements in the US and euro area occur around clearly identifiable news events, suggesting a larger role for observable macro news in driving asset prices than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, the persistence of news effects, and spillover effects between the US and euro area.

Keywords: Macro news; Asset prices; High-Frequency Identification; Event Database

JEL Classification: E43; E44; G12; G14

Suggested Citation: Suggested Citation

Kerssenfischer, Mark and Schmeling, Maik, What Moves Markets? (March 3, 2023). Available at SSRN: https://ssrn.com/abstract=3933777 or http://dx.doi.org/10.2139/ssrn.3933777