Conducting Event Studies With Asia-Pacific Security Market Data

42 Pages Posted: 7 Dec 2005

See all articles by Charles J. Corrado

Charles J. Corrado

Deakin University - School of Accounting, Economics & Finance

Cameron Truong

Monash University; Financial Research Network (FIRN)

Date Written: June 2007

Abstract

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

Suggested Citation

Corrado, Charles J. and Truong, Cameron, Conducting Event Studies With Asia-Pacific Security Market Data (June 2007). Available at SSRN: https://ssrn.com/abstract=868395 or http://dx.doi.org/10.2139/ssrn.868395

Charles J. Corrado (Contact Author)

Deakin University - School of Accounting, Economics & Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia
61492446214 (Phone)

Cameron Truong

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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