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Events that Shook the Market

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  • Ray Fair

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 pri

Suggested Citation

  • Ray Fair, 2003. "Events that Shook the Market," Yale School of Management Working Papers ysm307, Yale School of Management.
    • Handle: RePEc:ysm:wpaper:ysm307
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    File URL: https://repec.som.yale.edu/icfpub/publications/2446.pdf
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    References listed on IDEAS

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    1. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
    2. Schwert, G William, 1981. "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance, American Finance Association, vol. 36(1), pages 15-29, March.
    3. Haugen, Robert A & Talmor, Eli & Torous, Walter N, 1991. "The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, American Finance Association, vol. 46(3), pages 985-1007, July.
    4. Hardouvelis, Gikas A., 1987. "Macroeconomic information and stock prices," Journal of Economics and Business, Elsevier, vol. 39(2), pages 131-140, May.
    5. Jain, Prem C, 1988. "Response of Hourly Stock Prices and Trading Volume to Economic News," The Journal of Business, University of Chicago Press, vol. 61(2), pages 219-231, April.
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