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"Events that Shook the Market,"
Journal of Business, October 2002, 713-732.
pdf file (522KB).
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 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.