How can I calculate if one day (event day) abnormal return is statistifically significant. I am trying to calculate statistical significance (using t-statistics but other statistics could be fine also).
I have stock market index daily price data and need to is an event day abnormal return statistically significant.
I cannot calculate t-statistic in the same way I calculated cumulative abnormal return (CARs) for 6 and 12 days because I cannot calculate standard deviation.
I am calulating t-statistic for CARs with following formula:
How can I calculate significance of one day abnorlmal return?