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Stock Market Event Data and the Challenge of Dating Regimes

Article Quant Q&A · Author: worldCurrencies
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Summary

The document considers sources for dates of stock market events and broader political regimes, in the context of studying market effects. It points to a curated exchange calendar as a useful source for scheduled holidays, early closes, and unexpected market closures. These records can help establish trading dates and known interruptions in market activity.

The response distinguishes calendar data from regime labels. A political regime has no single objective start or end date: possible conventions include election day, announcement of results, inauguration, or the intervening period. The document does not identify a comprehensive dataset that measures each event’s market impact or determines how long that impact lasts. Researchers would need to define event and regime timing consistently, and the suggested calendar covers exchange closures rather than the broader historical events in the question.

Key ideas

  • Exchange calendars can supply dates for holidays, early closes, and unexpected closures.
  • Political regime dates depend on the chosen convention for when a regime begins and ends.
  • Election day, results announcements, inauguration, and the transition period are plausible alternatives.
  • The suggested calendar does not measure the market impact or duration of broader events.

Tags

EquitiesEvent-drivenStatisticsBacktesting
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# Where to get datasets on stock market events/regimes and dates of them?


# Where to get datasets on stock market events/regimes and dates of them?












I am looking for a dataset that gets all events and regimes in the stock market (i.e. an event like 9/11 and a regime like Bush's presidency) and the start and end date of each item's effect on the market. I was doing some searching and found I could probably do something like that with Factiva, however for reasons I can't disclose, I am not allowed to use Factiva. If you know a website similar to that, please share! I also have many academic databases at my disposal. Too many to name, but if you know of it, I think I may have it.

## Answer by Richard at NorgateData (score 1)

https://quant.stackexchange.com/a/69097

If you use Python, this set of holidays, early closings and unexpected closings has been well-curated: https://github.com/gerrymanoim/exchange_calendars (and even if you don't use Python, it's open source so you can obtain the data easily enough)

Political regimes are more subjective though. When does particular regime start and end? Election date? Election results announcement(s) !? Swearing-in date? How about the period between election and swearing-in?

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.