Events that shook the market

Tick data on the Standard and Poor's 500 Stock Index (S&P 500) futures contract and newswire searches are used to match events to large 1- to 5-minute stock price changes. Sixty-nine 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.