摘要：This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the present study is able to identify major political and economic events that contributed to the short bursts of non-linear behavior. The present framework can be extended to individual firm to examine the adjustment of its stock price to firm-specific events, which will provide deeper insight into issues on corporate finance.
