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What moves markets?

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  • Kerssenfischer, Mark
  • Schmeling, Maik

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.

Suggested Citation

  • Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdps:162022
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    More about this item

    Keywords

    Macro news; Asset prices; High-Frequency Identification; Event Database;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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