Hi guys.
I am running an event study and I'd be very helpful if you could help me with the below:
These are my codes for the event study:
I'd like to:
1) create a dummy variable in my regressions such that it identifies an event and assign a value of 0 on event date and 1 otherwise.
2) have several dummy variables for each of the event date in my sample.
Any ideas how I should proceed with that?
The use of the dummy variable is to help me identify which events have a significant impact on a sample of 16 stock market indices.
A summary of dataset: 1) Returns (16) and market return data - daily observations from Jan 04 to Dec 16 & 2) Events list - contains 1,324 events
Thank you for your help.
Regards Parvesh
I am running an event study and I'd be very helpful if you could help me with the below:
These are my codes for the event study:
Code:
clear capture cd "C:\Users\Parvesh\Desktop\Event Study Statistics\16 Indices\6 Day CAR" set obs 1 g fake = . save 6day_car, replace * cleaningevents file import delimited using GTD.csv, clear drop city perpetrator1 guncertain1 perpetrator2 guncertain2 perpetrator3 guncertain3 targettype1 targettype2 targettype3 region attacktype1 attacktype2 attacktype3 weapontype1 weapontype2 weapontype3 weapontype4 rename date date_string g date = date(date_string,"DMY") format date %td sort date drop date_string g date_id = _n tsset date_id * Drop events occuring on non-trading days gen dow = dow(date) drop if dow(date)==0 | dow(date)==6 drop dow sort date rename date event_date g nnn = 1 g obs = _n save eventsdates, replace * Calculating market returns using SP500 as proxy for market portfolio import delimited using sp500.csv, clear rename date date_string rename sp500 market generate date = date(date_string,"DMY") format date %td sort date g date_id = _n keep market date_id date drop if market==. tsset date_id generate returnmarket = ln(market) - ln(L.market) sort date order date, first save marketret, replace * Calculating indices returns and merging with market returns file import delimited using indices.csv, clear rename date date_string generate date = date(date_string,"DMY") format date %td sort date drop date_string g date_id = _n tsset date_id local vars atx bel20 omxc20 omxh cac40 dax30 athex iseq mib aex obx psi20 ibex35 omxs30 smi ftse100 foreach var of local vars { gen return_`var' = ln(`var') - ln(L.`var') } sort date merge 1:1 date using marketret drop _merge market sort date g nnn = 1 drop atx bel20 omxc20 omxh cac40 dax30 athex iseq mib aex obx psi20 ibex35 omxs30 smi ftse100 save allreturns, replace * merging events file with returns file use eventsdates, clear drop date_id forvalues i = 1/1324 { preserve keep if obs == `i' joinby nnn using allreturns sort date drop date_id g date_id = _n gen day_cnt = date_id gen target_day = day_cnt if date==event_date egen max_target_day = max(target_day) gen evday = day_cnt-max_target_day drop day_cnt target_day max_target_day sort evday gen evt_window=1 if evday>=0 & evday<=6 gen est_window=1 if evday<=-11 & evday>=-30 drop if evt_window==. & est_window==. foreach var of local vars { reg return_`var' returnmarket if est_window==1 gen rmse_`var' = e(rmse) predict phat_`var' gen ar_`var' = return_`var' - phat_`var' if evt_window==1 drop phat_`var' } drop if evt_window==. drop est_window nnn *************************************************** *Display the CAR and its Test Statistic foreach var of local vars { egen car_`var' = sum(ar_`var') gen tstat_`var' = car_`var'/(rmse_`var'*sqrt(_N)) drop return_`var' rmse_`var' ar_`var' } drop returnmarket date_id evday evt_window date * DO EVENT analysis, generate CAR in 1/1 keep in 1/1 append using 6day_car save 6day_car, replace restore } use 6day_car, clear order event_date, first sort event_date
1) create a dummy variable in my regressions such that it identifies an event and assign a value of 0 on event date and 1 otherwise.
2) have several dummy variables for each of the event date in my sample.
Any ideas how I should proceed with that?
The use of the dummy variable is to help me identify which events have a significant impact on a sample of 16 stock market indices.
A summary of dataset: 1) Returns (16) and market return data - daily observations from Jan 04 to Dec 16 & 2) Events list - contains 1,324 events
Thank you for your help.
Regards Parvesh