Events that Shook the Market

Ray Fair ()

Yale School of Management Working Papers from Yale School of Management

Abstract: Tick data on the S&P 500 futures contract and newswire searches are used to match events to large one- to five-minute stock price changes. 69 events that led to large stock price changes are identified between 1982 and 1999, 53 of which are directly or indirectly related to monetary policy. Many large stock price changes have no events associated with them.

New Economics Papers: this item is included in nep-fmk
Date: Written

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Related works:
Working Paper: Events that Shook the Market (2000)
Journal Article: Events That Shook the Market (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:ysm:somwrk:ysm307

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