Lim, Kian-Ping; Hinich, Melvin J. - In: Economics Bulletin 7 (2005) 6, pp. 1-5
This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the...