{"id":111880,"date":"2021-11-18T10:50:43","date_gmt":"2021-11-18T15:50:43","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=111880"},"modified":"2024-05-15T10:29:34","modified_gmt":"2024-05-15T14:29:34","slug":"quantpedia-how-news-move-markets","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/quantpedia-how-news-move-markets\/","title":{"rendered":"Quantpedia: How News Move Markets?"},"content":{"rendered":"\n<p class=\"has-background\" style=\"background-color:#e9eff1\"><em>Quantpedia&#8217;s team reviews the academic paper &#8220;What Moves Markets?&#8221; by Mark Kerssenfischer and Maik Schmeling. Read an excerpt below.<\/em><\/p>\n\n\n\n<p>Nobody would argue that nowadays, we live in an information-rich society \u2013 the amount of available information (data) is constantly rising, and news is becoming more accessible and frequent. It is indisputable that this evolvement has also affected financial markets.\u00a0Machine learning\u00a0algorithms can chew up big chunks of data. We can analyze the\u00a0sentiment\u00a0(which is frequently related to the news). Big data does not seem to be a problem anymore, and high-frequent trading algorithms can react almost instantly. But how important is the news? Kerssenfischer and Schmeling (2021) provide several answers by studying the impact of scheduled and unscheduled news (frequently omitted in other news-related studies) in connection with high-frequency changes in bond yields and stock prices in the EU and US as well. The research points out that the effect is tremendous and significant. According to the researchers, roughly half of all stock and bond movements in the US and EU happen around identifiable unscheduled (such as Covid spread or Lehman Brothers bankruptcy) or scheduled (FOMC meetings,\u00a0macro announcements, etc.) news. Furthermore, most central bank announcements cause a lower comovement in stocks and bonds. Overall, the research provides an excellent piece of information for both practitioners and academics and helps us better understand the impact and magnitude of news.\u00a0<\/p>\n\n\n\n<p><strong>Authors:<\/strong>&nbsp;Mark Kerssenfischer and Maik Schmeling<\/p>\n\n\n\n<p><strong>Title:&nbsp;<\/strong>What Moves Markets?<\/p>\n\n\n\n<p><strong>Link:<\/strong>&nbsp;<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3933777\" target=\"_blank\" rel=\"noreferrer noopener\">https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3933777<\/a><\/p>\n\n\n\n<p><strong>Abstract:<\/strong>&nbsp;What share of asset price movements is driven by news? We attempt to answer this question by building a large, time-stamped event database covering scheduled macroeconomic data releases, central bank announcements, bond auctions, as well as unscheduled news such as election results, sovereign rating downgrades, and natural catastrophes. We combine this news database with high-frequency stock price and bond yield changes, both for the United States and the euro area, going back to 2002. We find that news events account for about 50% of all market movements, suggesting that a much larger amount of return variation than previously thought can be traced back to observable news. Finally, we use our news database to quantify the share of asset price variation due to different types of news, to study the predictability of monetary policy surprises, and to dissect changes in the stock-bond correlation.<\/p>\n\n\n\n<p>As always we present some interesting figures:<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"732\" height=\"571\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-1.png\" alt=\"\" class=\"wp-image-111893 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-1.png 732w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-1-700x546.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-1-300x234.png 300w\" data-sizes=\"(max-width: 732px) 100vw, 732px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 732px; aspect-ratio: 732\/571;\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"678\" height=\"801\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-2.png\" alt=\"\" class=\"wp-image-111894 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-2.png 678w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-2-300x354.png 300w\" data-sizes=\"(max-width: 678px) 100vw, 678px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 678px; aspect-ratio: 678\/801;\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"706\" height=\"846\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-5.png\" alt=\"\" class=\"wp-image-111908 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-5.png 706w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-5-700x839.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-5-300x359.png 300w\" data-sizes=\"(max-width: 706px) 100vw, 706px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 706px; aspect-ratio: 706\/846;\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"736\" height=\"780\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-3.png\" alt=\"\" class=\"wp-image-111898 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-3.png 736w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-3-700x742.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-3-300x318.png 300w\" data-sizes=\"(max-width: 736px) 100vw, 736px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 736px; aspect-ratio: 736\/780;\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"737\" height=\"404\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-4.png\" alt=\"\" class=\"wp-image-111899 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-4.png 737w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-4-700x384.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/11\/quantpedia-news-4-300x164.png 300w\" data-sizes=\"(max-width: 737px) 100vw, 737px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 737px; aspect-ratio: 737\/404;\" \/><\/figure>\n\n\n\n<p><em>Visit Quantpedia for additional insight on this topic and to read notable quotations from the academic research paper: <a href=\"https:\/\/quantpedia.com\/how-news-move-markets\/\">https:\/\/quantpedia.com\/how-news-move-markets\/<\/a><\/em><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Quantpedia\u2019s team reviews the academic paper \u201cWhat Moves Markets?\u201d by Mark Kerssenfischer and Maik Schmeling.<\/p>\n","protected":false},"author":186,"featured_media":57299,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[339,338,341,351,344],"tags":[4922,1006,10658,1733],"contributors-categories":[13662],"class_list":{"0":"post-111880","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"has-post-thumbnail","7":"category-data-science","8":"category-ibkr-quant-news","9":"category-quant-development","10":"category-quant-europe","11":"category-quant-regions","12":"tag-econometrics","13":"tag-fintech","14":"tag-media-sentiment","15":"tag-sentiment","16":"contributors-categories-quantpedia"},"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.9 (Yoast SEO v27.3) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ 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