EconPapers    
Economics at your fingertips  
 

Conducting Event Studies on a Small Stock Exchange

Jan Bartholdy (), Dennis Olson () and Paula Peare

The European Journal of Finance, 2007, vol. 13, issue 3, 227-252

Abstract: This paper analyses whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. The main conclusion is that event studies can be performed provided that certain adjustments are made. First, a minimum of 25 events appears necessary to obtain acceptable size and power in statistical tests. Second, trade to trade returns should be used. Third, one should not expect to consistently detect abnormal performance of less than about 1% (or perhaps even 2%), unless the sample contains primarily thickly traded stocks. Fourth, nonparametric tests are generally preferable to parametric tests of abnormal performance. Fifth, researchers should present separate results for thickly and thinly traded stock groups. Finally, when nonnormality, event induced variance, unknown event day, and problems of very thin trading are all considered simultaneously, no one test statistic or type of test statistic dominates the others.

Keywords: Event studies; thin trading (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (31) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13518470600880176 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Conducting event studies on a small stock exchange (2006) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:13:y:2007:i:3:p:227-252

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-09-30
Handle: RePEc:taf:eurjfi:v:13:y:2007:i:3:p:227-252