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The distinctive character of policy-driven stock market jumps
Scott R. Baker, Nicholas Bloom, Steven J. Davis and Marco Sammon
May 2021
Paper No' :

Tags: globalisation; stock markets; policy; monetary policy; growth

When the stock market moves in a big way, journalists try to explain why. This column uses next-day newspaper accounts to characterise the drivers of more than 6,000 big daily moves ('jumps') across 16 national stock markets. Policy-driven jumps account for a greater share of upward than downward jumps in all countries. Jumps attributed to monetary policy foreshadow much lower levels of future stock market volatility than other jumps. In another striking pattern, US-related news drives one-third of national stock market jumps in other countries, emphasising the role of the US in the international monetary and financial system.