IDEAS home Printed from https://ideas.repec.org/a/tsj/stataj/v24y2024i3p478-502.html
   My bibliography  Save this article

cnevent: Event study with Chinese equity market data

Author

Listed:
  • Chuntao Li

    (Henan University)

  • Yizhuo Fang

    (Henan University)

  • Lifang Cao

    (Henan University)

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.

Suggested Citation

  • Chuntao Li & Yizhuo Fang & Lifang Cao, 2024. "cnevent: Event study with Chinese equity market data," Stata Journal, StataCorp LP, vol. 24(3), pages 478-502, September.
    • Handle: RePEc:tsj:stataj:v:24:y:2024:i:3:p:478-502
    DOI: 10.1177/1536867X241276112
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj24-3/st0754/
    as

    Download full text from publisher

    File URL: http://www.stata-journal.com/article.html?article=st0754
    File Function: link to article purchase
    Download Restriction: no
    File URL: https://libkey.io/10.1177/1536867X241276112?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:24:y:2024:i:3:p:478-502. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum or Lisa Gilmore (email available below). General contact details of provider: http://www.stata-journal.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.