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Examining Event Study Methodologies in Foreign Exchange Markets

Author

Listed:
  • Chuck C Y Kwok

    (University of South Carolina)

  • LeRoy D Brooks

    (University of South Carolina)

Abstract

A Brown and Warner [1980, 1985] event study methodology is applied to the foreign exchange area. Comparisons of the performance of four abnormal return models are examined with simulations under different experimental conditions, such as choice of foreign currency or numeraire, level of abnormal shock, sample size, length of estimation period, market return proxy, and time period examined. The results provide practical suggestions on the selection of an event study methodology and demonstrate that some of the findings of Brown and Warner are not generalizable to the foreign exchange area.© 1990 JIBS. Journal of International Business Studies (1990) 21, 189–124

Suggested Citation

  • Chuck C Y Kwok & LeRoy D Brooks, 1990. "Examining Event Study Methodologies in Foreign Exchange Markets," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 21(2), pages 189-224, June.
    • Handle: RePEc:pal:jintbs:v:21:y:1990:i:2:p:189-224
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    Citations

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    Cited by:

    1. Kolari, James W. & Pynnonen, Seppo, 2011. "Nonparametric rank tests for event studies," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 953-971.
    2. Vahidin Jeleskovic & Yinan Wan, 2024. "The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method," Papers 2402.14206, arXiv.org.
    3. Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018. "Impact of the Brexit vote announcement on long-run market performance," Working Papers hal-01954920, HAL.
    4. Gerard Atabong Fossung & Vasileios Chatzis Vovas & A. M. M. Shahiduzzaman Quoreshi, 2021. "Impact of Geopolitical Risk on the Information Technology, Communication Services and Consumer Staples Sectors of the S&P 500 Index," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    5. Chun-Da Chen & Chih-Chun Chen, 2012. "Assessing the Effects of Sports Marketing on Stock Returns," Journal of Sports Economics, , vol. 13(2), pages 169-197, April.
    6. Kiryl Rudy, 2023. "The Exchange Rate Volatility During Political Protests: Event Study and the Case of Belarus," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(9), pages 1-37, September.
    7. Kretzschmar, Gavin L. & Simpson, Ewan & Haque, Mujibul, 2013. "Russia's resource capitalism—market vs political signalling," Energy Policy, Elsevier, vol. 61(C), pages 771-782.

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