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I am looking to analyse the impact (causal effect) of a conflict on firm valuation (using daily prices) for a sample of around 800 firms (I currently have this data over a sample period of around 365 days).

I want to analyse the overall impact but also identify the difference in impact between the industries (maybe some industries got affected to lesser/more extent).

However, i cannot decide on the most appropriate methodology to use. I am split between using an event study methodology or panel data methodology using fixed effects.

Both seem to have their pros and cons but I am not sure panel fixed effects is appropriate, given the short time frame (only a few days around the start of the war).

Any help is appreciated!

I have tried to look for posts with similar questions but have not found anything specific to my question.

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  • $\begingroup$ Have you investigated our posts about time series intervention analysis? That would seem to be what you are asking. $\endgroup$
    – whuber ♦
    Commented Mar 5 at 22:05
  • $\begingroup$ @whuber I am unfortunately not familiar with that methodology yet. Is that methodology also applicable for panel data? $\endgroup$
    – mek1401
    Commented Mar 5 at 22:36
  • $\begingroup$ "Daily prices" says to me you have time series data, which makes this a standard intervention analysis. How do your data differ from that conception of the problem? $\endgroup$
    – whuber ♦
    Commented Mar 5 at 22:42
  • $\begingroup$ @whuber I understand it that time series data in combination with cross sectional data is considered panel data, no? Kind regards. $\endgroup$
    – mek1401
    Commented Mar 6 at 18:13

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