题　目：What Triggers Stock Market Jumps?

嘉　宾：Scott R. Baker, Associate Professor of Finance, Northwestern University

主持人：张麒，副教授，上海交通大学安泰经济与管理学院

时　间：2022年11月09日（周三）10:30-12:00

地　点：腾讯会议(校内师生如需会议号和密码，请于11月08日中午12点前发送电邮至finance@acem.sjtu.edu.cn获取) 

内容简介:

We examine next-day newspaper accounts of large daily jumps in 16 national stock markets to assess their proximate cause, clarity as to cause, and the geographic source of the market-moving news. Our sample of 6,200 market jumps yields several findings. First, policy news – mainly associated with monetary policy and government spending – triggers a greater share of upward than downward jumps in all countries. Second, the policy share of upward jumps is inversely related to stock market performance in the preceding three months. This pattern strengthens in the postwar period. Third, market volatility is much lower after jumps triggered by monetary policy news than after other jumps, unconditionally and conditional on past volatility and other controls. Fourth, greater clarity as to jump reason also foreshadows lower volatility. Clarity in this sense has trended upwards over the past century. Finally, and excluding U.S. jumps, leading newspapers attribute one-third of jumps in their own national stock markets to developments that originate in or relate to the United States. The U.S. role in this regard dwarfs that of Europe and China.

演讲人简介：

Scott Ross Baker is an Associate Professor of Finance at the Kellogg School of Management and is a Research Fellow at the National Bureau of Economic Research. His research is concentrated in empirical finance and macroeconomics. He is currently engaged in a variety of research projects regarding household financial choices and the measurement of consumption, as well as research regarding the effects of policy uncertainty on financial markets and growth.

Scott joined the Finance Department at Northwestern's Kellogg School of Management in July 2014. He received B.A.’s in Economics and Political Science from the University of California, Berkeley in 2007. He received a Ph.D. in Economics from Stanford University in June 2014.

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