Events That Shook the Market

Ray Fair ()

The Journal of Business, 2002, vol. 75, issue 4, 713-732

Abstract: Tick data on the Standard and Poor's 500 Stock Index (S&P 500) futures contract and newswire searches are used to match events to large 1- to 5-minute stock price changes. Sixty-nine 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.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (95)

Downloads: (external link)
http://dx.doi.org/10.1086/341640 main text (application/pdf)
Access to the online full text or PDF requires a subscription.

Related works:
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: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:75:y:2002:i:4:p:713-732

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().