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"Events that Shook the Market," Journal of Business, 2002.

Paper: pdf file

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.


An extension of this work is in 2003#1.