A Note on Intraday Event Studies

Abstract

We investigate the specification and power of intraday event study test statistics. Both the mean and market models generate well-specified return results for one- to thirty- minute intervals. Moreover, they detect return shocks equivalent to one spread in one- and five-minute interval data and two or three spreads in longer intervals. Researchers using intraday return event studies can therefore be confident in the robustness of their results. However, while common volume and bid-ask spread event study approaches have reasonable power, they are not generally well specified.

Keywords: Intraday, Event Study

JEL Classification: G12, G14