Events that Shook the Market

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2000 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: Ray Fair;

doi: 10.2139/ssrn.232552 , 10.1086/341640

Events that Shook the Market

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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.

Related Organizations

Yale University
United States
Cowles Foundation
United States

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