"Shock Effects on Stocks, Bonds, and Exchange Rates,"
Journal of International Money and Finance,
pdf file (1,061KB).
1982 4 21 10 11 11615 -0.043029 -0.086022 1The first number is the year, the second the month, the third the day, the fourth the hour, the fifth the minute, the sixth the price, the seventh the one-minute percent change, the eighth the five-minute percent change, and the last the number of trades in that minute:
year month day hour minute price one-min-change five-min-change volume
If there were more than one trade in the minute, the price is the last price of the minute. If the one-minute percent change could not be computed because there were no trades in the previous minute, the "missing" observation is denoted 99.000000. Likewise, if the five-minute percent change could not be computed, the missing observation is denoted 99.000000. The times are Central time, not Eastern time as used in the paper. The total number of lines in each file is the total number of available price levels. These are listed in Table 1 and footnote 2. The FORTRAN format of the line is (1X,I4,4(1X,I2),1X,I10,2F11.6,I5). The size of the .ZIP datasets for downloading are:
SP.ZIP 21.8 MB US.ZIP 11.5 MB DM.ZIP 12.4 MB EC.ZIP 0.9 MB JY.ZIP 14.3 MB BP.ZIP 10.8 MB NK.ZIP 1.3 MB TB.ZIP 1.8 MBThe size of the .MIN datasets that have been zipped are:
SP.MIN 125.4 MB US.MIN 84.0 MB DM.MIN 82.9 MB EC.MIN 5.6 MB JY.MIN 91.8 MB BP.MIN 69.2 MB NK.MIN 9.6 MB TB.MIN 15.4 MBThese datasets are large, and I have found it easiest to work with them using FORTRAN. They are probably too large for most package programs.
To download a dataset, click it below: