Building an event window into the CAPM using a dummy variable
In this Python project, we explore the financial markets using an enhanced version of the Capital Asset Pricing Model (CAPM). Leveraging a GitHub repository from Aldo Dector:
https://github.com/aldodec/
we modify the traditional CAPM to include a dummy variable. This allows us to examine the market impact of significant announcements, such as Apple's decision in February 2024 to retract from the Apple Car project.
Colab Link to enhanced CAPM:
https://colab.research.google.com/dri...
Key Features:
Customized CAPM Analysis: Our model extends the conventional CAPM by integrating a dummy variable to capture market responses to specific events.
Event Impact Investigation: We focus on analyzing two major events:
Apple's announcement regarding the Apple Car project in February 2024.
The Commodity Futures Trading Commission (CFTC) enforcement action against Binance on November 21, 2023.
Digital Asset Analysis: We conduct an examination of Bitcoin (BTC-USD) against the Nasdaq 100 index (^NDX) from January 1, 2020, to June 16, 2024.
Shock Window Analysis: By applying a shock window of 10 days (6 days before and after the event date), we assess the immediate market reaction and volatility caused by these announcements.