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Shock Effects on Stocks, Bonds, and Exchange Rates

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  • Ray Fair

Abstract

Tick data and newswire searches are used to find events that led to large and rapid changes in a stock future, a bond future, and three exchange rate futures. Knowledge of these events may be useful in future work. They have the

Suggested Citation

  • Ray Fair, 2001. "Shock Effects on Stocks, Bonds, and Exchange Rates," Yale School of Management Working Papers ysm172, Yale School of Management, revised 01 Aug 2001.
  • Handle: RePEc:ysm:wpaper:ysm172
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    File URL: https://repec.som.yale.edu/icfpub/publications/2444.pdf
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    References listed on IDEAS

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    7. 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.
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