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A Note on Intraday Event Studies

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  • Ben R. Marshall
  • Nick Nguyen
  • Nuttawat Visaltanachoti

Abstract

We investigate the specification and power of intraday event study test statistics. Mean, market, and matched firm models generate well-specified return results for a range of intervals up to 60 min around the event. These models detect return shocks equivalent to one spread in one-minute interval data and three spreads in longer intervals. Researchers using intraday return event studies can, therefore, be confident in their robustness. Some volume event study approaches have reasonable power but they are not generally well specified, while a matched-firm approach gives the best combination of specification and power for spread event studies.

Suggested Citation

  • Ben R. Marshall & Nick Nguyen & Nuttawat Visaltanachoti, 2019. "A Note on Intraday Event Studies," European Accounting Review, Taylor & Francis Journals, vol. 28(3), pages 605-619, May.
    • Handle: RePEc:taf:euract:v:28:y:2019:i:3:p:605-619
    DOI: 10.1080/09638180.2018.1530606
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    Cited by:

    1. Vanitha Swaminathan & Sayan Gupta & Kevin Lane Keller & Donald Lehmann, 2022. "Brand actions and financial consequences: a review of key findings and directions for future research," Journal of the Academy of Marketing Science, Springer, vol. 50(4), pages 639-664, July.
    2. Dora Almeida & Andreia Dionísio & Muhammad Enamul Haque & Paulo Ferreira, 2022. "A Giant Falls: The Impact of Evergrande on Asian Stock Indexes," JRFM, MDPI, vol. 15(8), pages 1-14, July.

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