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Research Details

What Triggers Stock Market Jumps?


Based on readings of next-day newspaper articles, we catalog the proximate cause and geographic source of all largest 1% of daily stock market movements in 14 countries over the past 30 years. Our catalog extends back to 1930 for the United Kingdom and to 1900 for the United States. Using the United States as a test case, we compare categorizations across several newspapers and human coders, obtaining consistent results. News about the United States plays a disproportionate role in triggering large equity moves around the world in recent decades, relative to the U.S. share of world output. The reverse pattern, of large U.S. equity moves in response to foreign news, is comparatively rare. Across almost all countries, the share of large stock market moves associated with government policy increased during and after the Global Financial Crisis of 2008-09. We show that shocks of different types and geographic origins are associated with significant differences in returns and both implied and realized volatility.


Working Paper


Scott Baker, Nick Bloom, Steve Davis, Marco Sammon

Date Published



Baker, Scott, Nick Bloom, Steve Davis, and Marco Sammon. 2021. What Triggers Stock Market Jumps?.


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