Title: What makes the market jump
Authors: Chardin Wese - ICMA Centre, University of Reading (United Kingdom) [presenting]
Marcel Prokopczuk - Leibniz University Hannover (Germany)
Abstract: Using intraday transaction prices and a non-parametric jump test, we show that jumps in the S\& P 500 and VIX are low-probability, high-impact events. Extant research investigating the causes of jumps primarily focuses on scheduled macro-announcements. However, we find that unscheduled news, which has so far received little attention, triggers twice as many jumps and accounts for a larger proportion of the jump variation than scheduled news. Intriguingly, we show that close to 50\% of jumps are not explained by fundamental news, revealing the presence of excess jumps in financial markets.