Events that Shook the Market

By Ray C. Fair. 2002

199 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cd1ddf964190c9c9b192f1bb684cc0466e045a37

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Citations in the corpus

Macroeconomic Cycles and the Stock Market's Reaction to Monetary Policy (2008, unknown): “Fair (2002) reports that more than 30% of identifiable events that caused a large immediate price change in the stock market were monetary announcements.”
Investor Networks in the Stock Market (2014, methodology): “Using account-level data from People’s Republic of China, Feng and Seasholes (2004) find that trades are highly correlated when investors are divided geographically. Cohen, Frazzini, and Malloy (2008) posit that there is communication via shared education networks between fund managers and corporate”
Stock price jumps: news and volume play a minor role (2008, background): “most of the volatility arises from trading itself, through the very impact of trades on prices. This was the conclusion reached by Cutler, Poterba and Summers in an early seminal paper [13] (see also [14]). More recently, the authors of [15] used high frequency data to decompose the volatility into ”
Contagion during the Greek sovereign debt crisis (2013, background): “Fair (2002) show that the news driving even extreme price fluctuations is not always easy to identify.”
Carry Trades and Currency Crashes (2008, unknown): “This reflects the broader phenomenon that many abrupt asset price movements cannot be attributed to a fundamental news events, as documented by Cutler and Summers (1989) and Fair (2002). We conjecture that sudden exchange rate moves unrelated to news”
Crises and Collective Socio-Economic Phenomena: Simple Models and Challenges (2012, unknown): “Portfolio Management 15, 412 (1989) [141] R.”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “This approach of event detection is commonly used to determine whether large price movements are linked to public news releases (see, for example, Cutler et al., 1989; Fleming and Remolona, 1997; Kaminsky and Schmukler, 1999; Fair, 2002, 2003).”
An Empirical Analysis of Stock and Bond Market Liquidity (2005, background): “Note that since bond data is from the inter-dealer market, the imbalance measures represent inter-dealer order imbalances.”
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2006, unknown): “-17Fair, R. (2002), “Events that Shook the Market,” Journal of Business, 75, 713-732. Faust, J., Rogers, J.H., Wang, S.Y.B. and Wright, J.H. (2006), “The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements,” Journal of Monetary Economics, forthcoming. Fleming,”
Bubbles, Financial Crises, and Systemic Risk (2012, unknown): “Indeed, empirically, most large stock price movements cannot be attributed to significant fundamental news, according to Cutler, Poterba, and Summers (1989) and Fair (2002).”