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Events that Shook the Market

Ray C. Fair
Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

January 2000

Yale ICF Working Paper No. 00-01; Yale SOM Working Paper No. ICF - 00-01

Abstract:
Tick data on the S&P 500 futures contract and newswire searches are used to match events to large five minute stock price changes. 58 events that led to large stock price changes are identified between 1982 and 1999, 41 of which are directly or indirectly related to monetary policy. Many large five minute stock price changes have no events associated with them.

Working Paper Series

Date posted: September 12, 2000 ; Last revised: August 17, 2001

Suggested Citation

Fair, Ray C., Events that Shook the Market (January 2000). Yale ICF Working Paper No. 00-01; Yale SOM Working Paper No. ICF - 00-01. Available at SSRN: http://ssrn.com/abstract=232552 or doi:10.2139/ssrn.232552

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