Events that Shook the Market
Posted: 21 Nov 2003
There are 2 versions of this paper
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: Suggested Citation
Fair, Ray C., Events that Shook the Market. Available at SSRN: https://ssrn.com/abstract=334004
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