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I'm trying to cnduct an event study accross countries, where sometimes there is more than one event per country.

I'm following the methodology explained here to compute $CAR_i$.

From what I understand, I can use one event per country if I'm following the formulas.

What should I do if I have more than one event per country, should I compute the $CAR_i$ for each event and then create an average ?

Thank for your help !

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  • $\begingroup$ I am doing a similar study. If I take the weighted average of the abnormal return for 5 independent events (all the events are the same but at a different time), what do I do with the t-statistics? I would very much appreciate if I get some guidance. $\endgroup$
    – Mohammad
    Oct 3, 2022 at 13:31
  • $\begingroup$ how did you do it at the end? i am facing the same issue currently $\endgroup$
    – nic
    Jul 27 at 13:37

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We do exactly that in our paper on FX returns before monetary policy announcements (link): there are several countries, and in each country there are several announcements per year, so the event matrix (in the time/country dimensions) looks like a punched card. In short, you do compute the CARs for each country-event, then compute the average CAR across events for each country, then you could average those weighing them equally or by the number of events for each country.

Details on the inference in the paper.

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I can not see why you can't use more than one event per country. As long as they are independent of each other, you can easily group them without adjusting for cross correlation. Also, if they don't overlap on the estimation period as well.

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