An Event Study Analysis of Thailand¡¯s 2019 General Election: A Long Window of Multiple Sub-events

Anya Khanthavit

International Journal of Financial Research, 2020, vol. 11, issue 4, 502-514

Abstract: This study extends the conditional regression model for event study analyses to include sub-events related to the events under investigation. The extended model ensures that all relevant sub-events are included in the event window and their significant effects are not averaged out. The model is applied to analyze the effects of Thailand¡¯s 2019 general election on stock market performance. Information on the election day and the sub-event days before and after the election day contributed to the significant election effects. The inclusion of sub-events in the analysis is important and useful.

Keywords: conditional regression; market efficiency; return behavior (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:11:y:2020:i:4:p:502-514

DOI: 10.5430/ijfr.v11n4p502

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