This researh downloaded data from yahoo finance, so it is very friendly for those who require data. As you know, it is very time-consuming to find data.
To diversify and to compare, let's look at Chinese listed companies on the US market and the US listed companies. The companies are across industries. The offical time that both countries declare the emergency is different. It is somewhat avoiding overlapping problem but not all. The aim is to see if the selected companies' stock returns see a dramatic drop (or jump) at the time of the event happens or during the event period (window).
Abnormal Return, Cumulative Abnormal Return, Average Abnormal Retrun, Cumulative Average Abnormal Retrun.
Abnormal Return (AR): Defined as the return that excess the expected return. The most important ingradient for the whole analysis.
Average Abnormal Retrun (AAR): Average out across the cross-sectional panel, namely, across the companies.
