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Events that Shook the Market

30 Pages Posted: 12 Sep 2000  

Ray C. Fair

Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Date Written: January 2000

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.

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

Ray C. Fair (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

Yale School of Management - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

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