TY - JOUR
T1 - Event studies correcting for nonnormality using the wild bootstrap
AU - Gregoriou, Andros
PY - 2014/6/1
Y1 - 2014/6/1
N2 - We explore stock price effects following index additions to the Hang Seng Stock Index (HSI). Unlike previous event studies, we correct the critical values of the standard event study market model using a wild-bootstrap technique. Our find- ings show that after correcting for nonnormality, the stock price reaction asso- ciated with HSI index revisions ceases to exist. This demonstrates the importance of correcting event study methodology for nonnormality of residuals, when undertaking empirical analysis.
AB - We explore stock price effects following index additions to the Hang Seng Stock Index (HSI). Unlike previous event studies, we correct the critical values of the standard event study market model using a wild-bootstrap technique. Our find- ings show that after correcting for nonnormality, the stock price reaction asso- ciated with HSI index revisions ceases to exist. This demonstrates the importance of correcting event study methodology for nonnormality of residuals, when undertaking empirical analysis.
U2 - 10.1080/13504851.2014.907473
DO - 10.1080/13504851.2014.907473
M3 - Article
SN - 1350-4851
VL - 21
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 15
ER -