Hello!

I am currently conducting my final thesis and for that I am using the package eventstudy2, as this has the most comprehensive statistics.

However, I am not conducting an Abnormal Return event study, but an Abnormal Trading Volume event study. In Abnormal Trading Volume the ln(Volume Turnover) is taken instead of the Returns. However, the calculation is exactly the same using the Market Model.


When using the package, I transformed my input .dta exactly as the example given in the help page. But, it seems that my event study is stuck in an infinite loop of events, even though I only have 3 events in order to test the syntax.

I feel like I tried already everything and I cannot see where the error is.

My Code:
Code:
use 01_request_mutated.dta, clear        

eventstudy2 Security_id Date using 02_firm_mutated, ret(Return) car1LB(-1) car1UB(1) mod(FM) marketfile(03_market_mutated) mar(MKT) idmar(Market_reference) aar(sol_output_aar) car(sol_output_car) ar(sol_output_ar) crossfile(sol_output_crossfile) diag(sol_output_diag) graph(sol_output_graph)
I have 3 files:
01_request_mutated.dta are the event dates and is stored in memory (Contains: Date, Market_reference, Security_id)
02_firm_mutated.dta is a list of the trade turnover for my firms (Contains: Date, Market_reference, Security_id, Return)
03_market_mutated.dta is the list of the benchmark market index (Contains: Date, Market_reference, MKT)


Many thanks for every help!

Best regards,
Daniel Handojo



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