Events that Shook the Market
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.
|Date of creation:||12 Sep 2000|
|Date of revision:|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David M. Cutler & James M. Poterba & Lawrence H. Summers, 1988.
"What Moves Stock Prices?,"
NBER Working Papers
2538, National Bureau of Economic Research, Inc.
- 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.
- Douglas K. Pearce & V. Vance Roley, 1984.
"Stock Prices and Economic News,"
NBER Working Papers
1296, National Bureau of Economic Research, Inc.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ysm:somwrk:ysm149. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.