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| Author: | Bartholdy, J. Olson, D. Peare, P. |
| Title: | Conducting event studies on a small stock exchange |
| Journal: | European Journal of Finance
2007 : APR/JUN, VOL. 13:3-4, p. 227-252 |
| Index terms: | stock exchanges securities trading event studies |
| Language: | eng |
| Abstract: | In this paper, it is analysed whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. It is concluded that event studies can be performed with certain adjustments: 1. a minimum of 25 events seems necessary for getting acceptable size and power in statistical tests, 2. trade to trade returns should be used, 3. one should not expect to consistently detect abnormal performance of less than about 1 percent etc., 4. non-parametric tests are generally preferable to parametric tests of abnormal performance, 5. researchers should present separate results for thickly and thinly traded stock groups. Finally, when several issues are all considered simultaneously, no test statistic or its type dominates the others. |
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