Conducting Event Studies With Asia-Pacific Security Market Data
42 Pages Posted: 7 Dec 2005
Date Written: June 2007
We investigate the effectiveness of several well-known parametric and nonparametric event study test statistics with security price data from the major Asia-Pacific security markets. Extensive Monte Carlo simulation experiments with actual daily security returns data reveal that the parametric test statistics are prone to misspecification with Asia-Pacific returns data. Two nonparametric tests, a rank test [Corrado and Zivney (1993)] and a sign test [Cowan (1992)] performed the best overall with market model excess returns computed using an equal weight index.
Keywords: Asia-Pacific stock markets, event study methods, Monte Carlo simulations
JEL Classification: C12, C14, C15, G14, G15
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