janezhang
是关于event study的， 简单来讲，就是把发生事情日期定义为ｔ那么要研究的事件时间段就是［ｔ－２０，ｔ＋１０］这一段时间我们称之为不正常事件段而与它比较的正常时间段是［ｔ－８１，ｔ－２１］，把对正常时间段每天的交易量取自然对数然后再取平均来表示正常交易量，也就是说这时候算出来的正常交易量是一个常数。用不正常时间段每天的交易量减去刚刚定义的正常交易量也就是那个常数来表示每天的非正常交易。然后就可以把 ｔ之前２０天的每天的不正常交易量加起来的到我们要的不正常交易量。
本人中文不太好不知道表达是否清楚，在用英文讲一遍。
Following the standard event methodology, employ the fixed mean model to compute abnormal option trading volume. More specifically, [t-20, t+10] and [t-81, t-21] are defined as event window and estimation window respectively12. Normal trading volume is then computed over the estimation window by taking the average of the natural log of the raw trading volume. Daily abnormal trading volume is computed by subtracting the normal trading volume from the daily trading volume in the event window. Cumulative abnormal trading volume is then computed by cumulating the daily abnormal trading volume over the 20 days leading up to the announcement dates.
希望高手们能够赐教，先谢谢啦。
简单的数据小样如下：
date volume
20051104 0
20051105 0
20051106 543
20051108 10
20051109 246
20051112 65
20051123 1059
20060601 40
20060608 50
20060702 90
20060703 100
