Event studies correcting for nonnormality using the wild bootstrap

Andros Gregoriou

doi:10.1080/13504851.2014.907473

Event studies correcting for nonnormality using the wild bootstrap

Andros Gregoriou

University of Brighton

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Journal	Applied Economics Letters
Volume	21
Issue number	15
DOIs	https://doi.org/10.1080/13504851.2014.907473
Publication status	Published - 1 Jun 2014

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abstract = "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.",

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Event studies correcting for nonnormality using the wild bootstrap

Abstract

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