A Matt Levine Effect?
6 Pages Posted: 18 Mar 2023
Date Written: March 12, 2023
This paper constructs a novel dataset to explore whether Matt Levine’s vacation drives market volatility as suggested by readers and Levine himself. It finds that contrary to expectations, Levine’s vacations have an (almost) statistically significant effect in the opposite direction: decreasing market volatility. This paper provides a series of potential explanations for this observed market reaction.
Keywords: Matt Levine, Market Volatility, Price Discovery, Sunspots, Vacation
JEL Classification: G00
Suggested Citation: Suggested Citation
Connell, Paul and Fallon, William and Foretek, Nick, A Matt Levine Effect? (March 12, 2023). Available at SSRN: https://ssrn.com/abstract=4386256 or http://dx.doi.org/10.2139/ssrn.4386256
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