AggregateReturns

<p>This data set contains intra-day stock price returns (in per cent) of
  7 Indian banks with highest weight in the Bank NIFTY Index. The intra-day stock
  returns for 35 minutes before and after the event are used to define
  the event window.</p>

datasets

A platform for conducting event studies (Fama, Fisher,
Jensen, Roll (1969) <doi:10.2307/2525569>) and for
methodological research on event studies. The package
supports market model, augmented market model, and excess
returns methods for data modelling along with Wilcox,
classical t-test, and Bootstrap as inference procedures.

Chirag Anand

eventstudies

Event Study Analysis

Vikram Bahure

Vimal Balasubramaniam

Shekhar Harikumar

Sargam Jain

Ajay Shah

AggregateReturns function

Intra-day stock price returns data — AggregateReturns

Intra-day stock price returns data

AggregateReturns: Intra-day stock price returns data

Description

Usage

Arguments