Events that Shook the Market

Posted: 21 Nov 2003

See all articles by Ray C. Fair

Ray C. Fair

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

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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 price changes are identified between 1982 and 1999, 53 of which are directly or indirectly related to monetary policy. Many large stock price changes have no events associated with them.

Suggested Citation

Fair, Ray C., Events that Shook the Market. Journal of Business, Vol. 75, No. 4, October 2002. Available at SSRN: https://ssrn.com/abstract=334004

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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