Applications of event study methodology for measuring of a market reaction – Ing. Munkh-Od Dashdondog
Ing. Munkh-Od Dashdondog
Master's thesis
Applications of event study methodology for measuring of a market reaction
Applications of event study methodology for measuring of a market reaction
Abstract:
This thesis aims to provide an empirical analysis of the market reaction from information about addition and deletion to/from the S&P 500 under an efficient market hypothesis. In that way, event study methodology is used to detect abnormal returns and three different test statistics: t-test, Patell Z test, and Generalized sign tests to check H0: AR=0 null hypothesis. Abnormal returns are defined …moreAbstract:
This thesis aims to provide an empirical analysis of the market reaction from information about addition and deletion to/from the S&P 500 under an efficient market hypothesis. In that way, event study methodology is used to detect abnormal returns and three different test statistics: t-test, Patell Z test, and Generalized sign tests to check H0: AR=0 null hypothesis. Abnormal returns are defined …more
Language used: English
Date on which the thesis was submitted / produced: 14. 5. 2021
Identifier:
https://is.muni.cz/th/h5gm5/
Thesis defence
- Date of defence: 24. 6. 2021
- Supervisor: Ing. Dagmar Vágnerová Linnertová, Ph.D.
- Reader: Ing. Tomáš Plíhal, Ph.D.
Citation record
ISO 690-compliant citation record:
DASHDONDOG, Munkh-Od. \textit{Applications of event study methodology for measuring of a market reaction}. Online. Master's thesis. Brno: Masaryk University, Faculty of Economics and Administration. 2021. Available from: https://theses.cz/id/0e7wfg/.
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- světu
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakultaMasaryk University
Faculty of Economics and AdministrationMaster programme / field:
Finance / Finance
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