Shock Effects on Stocks, Bonds, and Exchange Rates

Ray Fair ()

Yale School of Management Working Papers from Yale School of Management

Abstract: Tick data and newswire searches are used to find events that led to large and rapid changes in a stock future, a bond future, and three exchange rate futures. Knowledge of these events may be useful in future work. They have the advantages that they are truly surprises and that the sign of their effect on each financial market is known. The events are used in this study to analyze the effects of three types of shocks on the five variables.

JEL-codes: E44 G10 (search for similar items in EconPapers)
Date: Written
View citations in EconPapers

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=257923 (application/pdf)

Related works:
Journal Article: Shock effects on stocks, bonds, and exchange rates (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ysm:somwrk:ysm172

Access Statistics for this paper

More papers in Yale School of Management Working Papers from Yale School of Management
Contact information at EDIRC.
Series data maintained by ().