How to conduct this event study?
This event study is trying to know what is the impact of changing the monetary policy in Egypt and how this affect the Egyptian stock market. The strategy in our research is to concentrate on 125 days for our event study and the data for the stocks w will select it will be 15days before the event and 10 days after the event. The first -120 days will be estimated window and from -5 to +10 will be the event window.
This event study as enclosed. It aims to study the impact of changes in the monetary policy in Egypt on Egyptian stock market. I have a methodology as detailed in attachment. Let me know if you can do it as mentioned? Instead of CAPM model, I want to use market model followed by T tests in gretl.
Attachment:- Event Study.rar