Well, look up papers which focus on the market you want to explore and as a first step collect the data they are using.

I examined major stock indexes for several countries stock market. So I used a global stock price index which might impact these countries stock markets. You should choose an index that closely relative with your focus index. So you can estimate the normal returns more accurately.

@Cem Kaan Arslan

Thanks Cem,

If we will look for an index that is closely relative to the focus index, then why don't we use the "focus index" itself to represent the market ?

market index is used to measure the theoretical return (the naive model) in the event study method. it is possible to use the average a series of past market returns of stock index It. where average Rm= sum past Rm/n

and Rm = (It-It-1)/It-1

market index is used to measure the theoretical return (the naive model) in the event study method. it is possible to use the average a series of past market returns of stock index It. where average Rm= sum past Rm/n

and Rm = (It-It-1)/It-1

I suppose market index of stock market you can use.

You may want to have a look at Solnik's International Arbitrage Pricing Theory (https://www.jstor.org/stable/2327978).