What Moves Markets?

79 Pages Posted: 5 Oct 2021 Last revised: 24 Feb 2024

See all articles by Mark Kerssenfischer

Mark Kerssenfischer

Deutsche Bundesbank

Maik Schmeling

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

Multiple version iconThere are 2 versions of this paper

Date Written: March 3, 2023

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.

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

JEL Classification: E43; E44; G12; G14

Suggested Citation

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

Mark Kerssenfischer (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Maik Schmeling

Goethe University Frankfurt - Department of Finance ( email )

House of Finance
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, Hessen 60323
Germany

HOME PAGE: http://sites.google.com/site/maikschmeling/

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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