Events that Shook the Market

Ray Fair (ray.fair@yale.edu)

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 pri

Date: 2003-11-01
New Economics Papers: this item is included in nep-fmk
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Related works:
Journal Article: Events That Shook the Market (2002)
Working Paper: Events that Shook the Market (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm307

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