So Many Jumps, So Few News

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.

Keywords: machine-readable news, stock price jumps, market efficiency, excess jumps, liquidity, price impact. JEL Codes: G12, G14

Suggested Citation: Suggested Citation

Ait-Sahalia, Yacine and Li, Chen Xu and Li, Chenxu, So Many Jumps, So Few News (July 17, 2024). Available at SSRN: https://ssrn.com/abstract=4897887 or http://dx.doi.org/10.2139/ssrn.4897887