Perceived Causes and Clarity of Financial Market Jumps

AbstractThis project examined what causes stock market jumps by exploring and characterizing next day newspaper accounts of daily stock market moves both in the United States and a range of other countries.该项目在规模和范围上推进了这一领域的知识体系。该项目研究了15个国家自20世纪以来的5,000多次股票市场跳跃，并通过人类处理来描述触发跳跃的信息。该项目进一步探讨了市场变动信息的地理来源，以及对跳跃原因的清晰看法。考虑到不同类型和清晰度的股票市场跳跃表明对市场波动的不同下游影响。本项目通过检查长期以来和大量国家的报纸账户来探索股票市场跳跃。该项目研究了美国在全球股票市场中发挥的重要作用，特别是自1980年以来。该项目进一步探讨了政府政策的反周期作用;与货币政策和政府支出相关的跳跃在负面的非政策性市场波动之后最为突出。该项目进一步研究了股票市场跳跃的原因和清晰度对未来市场波动的影响。由非政策事件驱动的跳跃和不太明确归因于单一原因的跳跃往往会对未来几天和几周的波动产生显著的积极影响。该奖项反映了NSF的法定使命，并通过使用基金会的知识价值和更广泛的影响审查标准进行评估，被认为值得支持。

AbstractThis project examines what causes stock market jumps by exploring and characterizing next-day newspaper accounts of daily stock market moves both in the United States and a range of other countries. This project advances the body of knowledge in this area in both the scale and the scope. The project examines over 5,000 stock market jumps in 15 countries back to the 1900s and characterizes information on what triggered the jump through human processing. The project further explores the geographic source of the market-moving information, and the clarity of perceptions about the reasons for the jump. Considering stock market jumps of different types and levels of clarity indicate different downstream effects on market volatility.This project explores stock market jumps by examining newspaper accounts over a long time period and for a large set of countries. The project examines the significant role the United States plays in global stock markets, particularly since 1980. The project further explores the countercyclical role of government policy; jumps associated with monetary policy and government spending are the most over-represented following negative non-policy market moves. The project further investigates the impact of both the cause and the clarity of stock market jumps on future market volatility. Jumps driven by non-policy events and jumps that are less clearly attributed to a single cause tend to have significant positive effects on volatility over the next days and weeks.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.