This 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.

Agency
National Science Foundation (NSF)
Institute
Division of Social and Economic Sciences (SES)
Type
Standard Grant (Standard)
Application #
2018094
Program Officer
Senay Agca
Project Start
Project End
Budget Start
2020-08-01
Budget End
2023-07-31
Support Year
Fiscal Year
2020
Total Cost
$520,000
Indirect Cost
Name
National Bureau of Economic Research Inc
Department
Type
DUNS #
City
Cambridge
State
MA
Country
United States
Zip Code
02138