Event studies correcting for nonnormality using the wild bootstrap

We explore stock price effects following index additions to the Hang Seng Stock Index (HSI). Unlike previous event studies, we correct the critical values of the standard event study market model using a wild-bootstrap technique. Our findings show that after correcting for nonnormality, the stock price reaction associated with HSI index revisions ceases to exist. This demonstrates the importance of correcting event study methodology for nonnormality of residuals, when undertaking empirical analysis.