Hi guys,

For a project i am currently working on, I am looking at the effects of the Kyoto and Paris agreement on the stock market. I acquired monthly data and with that I am running a regression to test both for volatility and abnormal return. For the abnormal return I just regress it on the dummy, for the volatility i make an interaction term with the market return. However, I experience 2 problems. Firstly, when I try to combine these, STATA eliminates the interaction term because of multicoliniarity, do you know a way to get around this? Secondly, when I regress them separately, my results show an enormous beta change for the respective months (20>), is this even possible or am i doing something wrong?


Any help is greatly appreciated!