Hi all,
I am using Stata 16.
My study: I have two periods that I will evaluate; 2008 - 2013 and then 2014 - 2018. I have a total of 63 baseline events - 23 in the 2008 - 2013 period and 40 in the 2014 - 2018 period - and I am using open/close data. Due to data access, I was unable to obtain intraday data (for less than £1500) but I feel using the open/close data will enable me to provide a broad view and still comment on any pre-announcement drift and lasting effects of FOMC news (thus commenting on efficient market theory). To that end, I would like to evaluate the way in which the Dow anticipates FOMC news 3 days prior to the announcement and the way in which news is incorporated, 3 days after the event.
The majority of event studies I have seen appear to evaluate a stock against an index (eg. apple against the S&P 500 is very common) to thus estimate normal performance, abnormal and cumulative abnormal returns, as well as being able to test for significance. Is it possible to conduct an event study with just the Dow Jones?
I am unsure whether anyone has any direction regarding the use of eventstudy2 but I also had the idea to evaluate the effects of unscheduled meetings - so effectively, another set of events. I considered using dummies/ changing (d.var d2.var etc) for x days – leading and lagging (1, 2,3, 4 ) to see if there is any reaction and whether it is more dramatic or not of the scheduled meetings. I suppose they would be in reaction to shocks and a such not working in the same way as the schedule ones. I have done something similar on a project that was not finance related so excuse the novice approach to the event study application.
I have read the 'help eventstudy2' and also used the Princeton , event Studies with Stata guide. However, I I am generating missing values when setting-up my data and I cannot figure what is up with the way I have prepared my data in Excel.
Attached in a copy of my data prepared in excel. I have manually calculated cumulative returns for the whole index, for both periods and I have further calculated cumulative returns for the index over the whole period and removed the event days - this will allow me to compare event-days versus all other trading days. Any direction at this stage would be much appreciated.
Thanks in advance.
I am using Stata 16.
My study: I have two periods that I will evaluate; 2008 - 2013 and then 2014 - 2018. I have a total of 63 baseline events - 23 in the 2008 - 2013 period and 40 in the 2014 - 2018 period - and I am using open/close data. Due to data access, I was unable to obtain intraday data (for less than £1500) but I feel using the open/close data will enable me to provide a broad view and still comment on any pre-announcement drift and lasting effects of FOMC news (thus commenting on efficient market theory). To that end, I would like to evaluate the way in which the Dow anticipates FOMC news 3 days prior to the announcement and the way in which news is incorporated, 3 days after the event.
The majority of event studies I have seen appear to evaluate a stock against an index (eg. apple against the S&P 500 is very common) to thus estimate normal performance, abnormal and cumulative abnormal returns, as well as being able to test for significance. Is it possible to conduct an event study with just the Dow Jones?
I am unsure whether anyone has any direction regarding the use of eventstudy2 but I also had the idea to evaluate the effects of unscheduled meetings - so effectively, another set of events. I considered using dummies/ changing (d.var d2.var etc) for x days – leading and lagging (1, 2,3, 4 ) to see if there is any reaction and whether it is more dramatic or not of the scheduled meetings. I suppose they would be in reaction to shocks and a such not working in the same way as the schedule ones. I have done something similar on a project that was not finance related so excuse the novice approach to the event study application.
I have read the 'help eventstudy2' and also used the Princeton , event Studies with Stata guide. However, I I am generating missing values when setting-up my data and I cannot figure what is up with the way I have prepared my data in Excel.
Attached in a copy of my data prepared in excel. I have manually calculated cumulative returns for the whole index, for both periods and I have further calculated cumulative returns for the index over the whole period and removed the event days - this will allow me to compare event-days versus all other trading days. Any direction at this stage would be much appreciated.
Thanks in advance.
