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Conducting event studies with Asia-Pacific security market data

Corrado, Charles and Truong, Cameron 2008, Conducting event studies with Asia-Pacific security market data, Pacific-Basin finance journal, vol. 16, no. 5, pp. 493-521, doi: 10.1016/j.pacfin.2007.10.005.

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Title Conducting event studies with Asia-Pacific security market data
Author(s) Corrado, Charles
Truong, Cameron
Journal name Pacific-Basin finance journal
Volume number 16
Issue number 5
Start page 493
End page 521
Publisher Elsevier B.V.
Place of publication Amsterdam, The Netherlands
Publication date 2008-11
ISSN 0927-538X
Keyword(s) financial event studies
event study tests
Asia-Pacific security markets
Summary We investigate the effectiveness of several well-known parametric and non-parametric 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 non-parametric tests, a rank test [Corrado and Zivney (Corrado, C.J., Zivney, T.L., 1992, The specification and power of the sign test in event study hypothesis tests using daily stock returns, Journal of Financial and Quantitative Analysis 27(3), 465-478)] and a sign test [Cowan (Cowan, A.R., 1992, Non-parametric event study tests, Review of Quantitative Finance and Accounting 1(4), 343–358)] were the best performers overall with market model excess returns computed using an equal weight index.
Language eng
DOI 10.1016/j.pacfin.2007.10.005
Field of Research 150399 Business and Management not elsewhere classified
150201 Finance
HERDC Research category C1.1 Refereed article in a scholarly journal
HERDC collection year 2008
Copyright notice ©2007, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30019535

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Wed, 16 Sep 2009, 14:55:09 EST by Liz Hau

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