A Note on Intraday Event Studies

24 Pages Posted: 9 Aug 2017 Last revised: 17 Aug 2017

See all articles by Ben R. Marshall

Ben R. Marshall

Massey University - School of Economics and Finance

Nhut H. Nguyen

Auckland University of Technology

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Date Written: August 8, 2017

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

Suggested Citation

Marshall, Ben R. and Nguyen, Nhut H. and Visaltanachoti, Nuttawat, A Note on Intraday Event Studies (August 8, 2017). Available at SSRN: https://ssrn.com/abstract=3015618 or http://dx.doi.org/10.2139/ssrn.3015618

Ben R. Marshall (Contact Author)

Massey University - School of Economics and Finance ( email )

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Nhut H. Nguyen

Auckland University of Technology ( email )

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Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
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Auckland
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