Event Study / abnormal returns
Posted: Sun Mar 01, 2015 2:48 pm
Hello everyone!
First, I want to say that I am new to EViews and a total beginner in the program and econometrics in general.
Still, I hope that someone can help me out.
I have the following problem:
I am looking at daily S&P 500 returns form 2008 to 2014.
The aim of my research is to look for abnormal returns at specific dates, FOMC QE announcement dates to be specific.
So the question is - how do I do this?
When reading other threads and discussions, I have heard something about using the OLS method and dummy variables.
I hope someone can clarify and elaborate on the method on how to proceed.
Regards and thank you very much in anticipation!
First, I want to say that I am new to EViews and a total beginner in the program and econometrics in general.
Still, I hope that someone can help me out.
I have the following problem:
I am looking at daily S&P 500 returns form 2008 to 2014.
The aim of my research is to look for abnormal returns at specific dates, FOMC QE announcement dates to be specific.
So the question is - how do I do this?
When reading other threads and discussions, I have heard something about using the OLS method and dummy variables.
I hope someone can clarify and elaborate on the method on how to proceed.
Regards and thank you very much in anticipation!