Conducting Event Studies With Asia-Pacific Security Market Data

Abstract

We investigate the effectiveness of several well-known parametric and nonparametric event study test statistics with security price data from the major Asia-Pacific security markets. Extensive Monte Carlo simulation experiments with actual daily security returns data reveal that the parametric test statistics are prone to misspecification with Asia-Pacific returns data. Two nonparametric tests, a rank test [Corrado and Zivney (1993)] and a sign test [Cowan (1992)] performed the best overall with market model excess returns computed using an equal weight index.

Keywords: Asia-Pacific stock markets, event study methods, Monte Carlo simulations

JEL Classification: C12, C14, C15, G14, G15