Events That Shook the Market
Tick data on the Standard and Poor's 500 Stock Index (S&P 500) futures contract and newswire searches are used to match events to large 1- to 5-minute stock price changes. Sixty-nine 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.
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- David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988.
"What Moves Stock Prices?,"
487, Massachusetts Institute of Technology (MIT), Department of Economics.
- 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.
- Hardouvelis, Gikas A., 1987. "Macroeconomic information and stock prices," Journal of Economics and Business, Elsevier, vol. 39(2), pages 131-140, May.
- Pearce, Douglas K & Roley, V Vance, 1985.
"Stock Prices and Economic News,"
The Journal of Business,
University of Chicago Press, vol. 58(1), pages 49-67, January.
- 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 219-31, April.
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