PlumX Metrics
SSRN
Embed PlumX Metrics

What Moves Markets?

SSRN, ISSN: 1556-5068
2022
  • 6
    Citations
  • 1,495
    Usage
  • 9
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    6
    • Citation Indexes
      6
  • Usage
    1,495
    • Abstract Views
      1,166
    • Downloads
      329
  • Captures
    9
    • Readers
      8
      • SSRN
        8
    • Exports-Saves
      1
      • SSRN
        1
  • Ratings
    • Download Rank
      185,377

Article Description

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.

Bibliographic Details

Provide Feedback

Have ideas for a new metric? Would you like to see something else here?Let us know