What Moves Markets?

Kerssenfischer, Mark; Schmeling, Maik

doi:10.2139/ssrn.4135943

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What Moves Markets?

Deutsche Bundesbank Discussion Paper No. 16/2022

65 Pages Posted: 14 Jun 2022

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: 2022

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. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002, suggesting 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, 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? (2022). Deutsche Bundesbank Discussion Paper No. 16/2022, Available at SSRN: https://ssrn.com/abstract=4135943 or http://dx.doi.org/10.2139/ssrn.4135943