My research objective is to investigate how change in sovereign ratings impact stock market returns. I have narrowed the scope to include only oil exporting and oil importing companies which constitute 29 countries in total. I have gathered historical ratings data for these countries by top 3 rating agencies and compiled the attached document. So these are the events of change for each country. I need to ascertain if the stock market returns represented by the movement of national stock indices of the respective countries exhibited any abnormal pattern in the event window (-29,30 days). So i first need to calculate normal returns for each country using fama french country returns and compare the same with the actual movement in the indices for each event window.
In short, my independent variable is the change in ratings (for eg if the ratings change from AA to AA-, we assign a value of -1) and dependent variable is abnormal return in stock market indices.(I have compiled data of historical stock market indices for the time period selected for the study).
In addition to these variables, I have to incorporate other control variables such as oil prices, market capitalization, gdp in common currency, national debt, etc. After this, I need to run a regression analysis to examine whether the relationship between my primary variables is significant or not.I also need to run statistical tests to validate or reject the hypothesis.
I have all the data that is required for the study but need help to organise and conduct the required analysis. Can you help with this?
* If you have Eviews experience? It would be great!
This job was posted from a mobile device, so please pardon any typos or any missing details.
I am willing to pay higher rates for the most experienced freelancers