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What Causes “Jumps” in Stock Prices?
Sometimes stock prices move a lot in a very short amount of time compared with their usual movements. These big changes are known as jumps in stock prices. Economists often attribute these jumps to important news that changes the expectations of market participants about the future profitability of firms, path of interest rates or state of the economy. Studying such jumps helps us understand what sort of news is important to shaping market expectations and, therefore, how markets work.
We calculated 638 jumps in the price of the Dow Jones Industrial Average ETF (SPDR) using millisecond-precision data from the New York Stock Exchange Trade and Quote database that span Jan. 3, 2007, through April 2, 2020.1 This period includes several turbulent episodes: the global housing and credit crisis; the European sovereign debt crisis and the bailout of Greece; the Russian, Greek, Turkish crisis; and the 2020 stock market crash.
One can examine the causes of jumps in several ways. One can look at long-term patterns by year or quarter to see whether there are periods with an unusual number of jumps. One can also look for unusual patterns by day in the month, by day of the week, by time of day and with the times of known macroeconomic announcements, such as monetary policy announcements or employment reports.
The figure below shows the number of jumps by quarter of the sample. On average, there are about 12 jumps per quarter. The first quarter of 2007, the second half of 2017, and July through November 2019 produced many jumps compared with the rest of the sample. The initial inklings of problems in the U.S. housing and subprime mortgage sectors, which would later become the Great Financial Crisis of 2007-09, triggered a sharp stock sell-off in March 2007. Money market turbulence characterized the latter half of 2019.
We calculated 638 jumps in the price of the Dow Jones Industrial Average ETF (SPDR) using millisecond-precision data from the New York Stock Exchange Trade and Quote database that span Jan. 3, 2007, through April 2, 2020.1 This period includes several turbulent episodes: the global housing and credit crisis; the European sovereign debt crisis and the bailout of Greece; the Russian, Greek, Turkish crisis; and the 2020 stock market crash.
One can examine the causes of jumps in several ways. One can look at long-term patterns by year or quarter to see whether there are periods with an unusual number of jumps. One can also look for unusual patterns by day in the month, by day of the week, by time of day and with the times of known macroeconomic announcements, such as monetary policy announcements or employment reports.
The figure below shows the number of jumps by quarter of the sample. On average, there are about 12 jumps per quarter. The first quarter of 2007, the second half of 2017, and July through November 2019 produced many jumps compared with the rest of the sample. The initial inklings of problems in the U.S. housing and subprime mortgage sectors, which would later become the Great Financial Crisis of 2007-09, triggered a sharp stock sell-off in March 2007. Money market turbulence characterized the latter half of 2019.
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