Hello,
I would like to conduct a similar t-test to the one done in the following paper Ranaldo and Rossi (2007) see Table 4.1. However I only have daily data not intraday data. I have daily data for the Swiss Performance Index, the surprise is calculated by taking the daily change in the CHF 3M Libor which I have data for and I have data on all the policy announcements by the Swiss National Bank.
I think I need to conduct some sort of event study however I am unsure of how I would calculate the abnormal returns etc. And if I even need to do that.
How would I test if the monetary policy announcements have a significant effect on the daily return of the Swiss Performance Index (SPI)?
Thanks for your help!
Regards,
Elias
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