I am conducting an event study on the volume-inducing effects of technical analysis signals generated by the RSI, MACD, and SMA indicators in the Baltic stock market. With this regard, technical analysis signals are considered as an event in my model while abnormal volume is the expected effect.
Since technical trading signals happen on almost a daily basis, my data set is likely to contain overlapping event dates. How should I deal with this?
Dealing with overlapping event dates in an event study can be challenging, but there are several approaches you can consider:
Ultimately, the choice of approach will depend on the specific nature of your study and the research question you are trying to answer. It may also be helpful to consult with a statistician or econometrician to ensure that your methodology is appropriate and effective.
Hey, thanks for the reply!
I also heard about the approach of consolidating events. However, are there actual academic literature that justify this method?
If we create a cycle of each of these indicators, then a composite cycle can be created by using several methods available. The composite cycle will show the impact of all these indicators combined. I hope this will help.
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