Shock Effects on Stocks, Bonds, and Exchange Rates
Ray C. Fair
Yale University - Cowles Foundation; Yale School of Management - International Center for Finance
January 2001
Yale SOM Working Paper No. ICF - 00-26
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 Classifications: G10, E44
Working Paper Series
Suggested Citation
Fair, Ray C., Shock Effects on Stocks, Bonds, and Exchange Rates (January 2001). Yale SOM Working Paper No. ICF - 00-26. Available at SSRN: http://ssrn.com/abstract=257923 or doi:10.2139/ssrn.257923
Download
Facebook
Twitter
Digg
Del.icio.us
CiteULike
