30 Pages Posted: 12 Sep 2000
Date Written: January 2000
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.
Suggested Citation: 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: https://ssrn.com/abstract=232552 or http://dx.doi.org/10.2139/ssrn.232552