cnevent: Event study with Chinese equity market data

Chuntao Li (), Yizhuo Fang () and Lifang Cao ()
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Chuntao Li: Henan University
Yizhuo Fang: Henan University
Lifang Cao: Henan University

Stata Journal, 2024, vol. 24, issue 3, 478-502

Abstract: In this article, we present a new command, cnevent, that runs event studies about Chinese-listed companies. With cnevent, researchers are required to provide only a list of events with the Chinese stock code and the corresponding date for each event, and the command can automatically extract indexes and each individual stock’s return data to run the whole process of the event study. Furthermore, cnevent enables users to choose the benchmark from among different market indexes and different event window sets with options. The command then generates daily abnormal returns for all trading days within the event window and aggregates the cumulative abnormal returns (CARs) for the whole event window. Finally, cnevent can plot a graph to show the trend of the CAR𝑡 within the event window and test whether the event has a significant effect on valuation.

Keywords: cnevent; Chinese listed companies; event study; abnormal returns; cumulative abnormal returns; CARs (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1177/1536867X241276112

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