The importance of understanding the underlying characteristics of Private Placement Announcement effect draw much attention from accounting theory researchers and financial practitioners. Due to the overwhelming complexity of the financial market, many traditional methods such as intervention method and event study fail to generate consistently good analysis results. Empirical Mode Decomposition (EMD), proposed by Huang, seems to be a promising data analysis method for nonlinear and non-stationary time series. In this paper, An innovative EMD-based multi-scale event analysis method is proposed to estimate the impact of Announcement Date Effect on stock price volatility, and then take illustrative Humon Share (002237 in Shenzhen Stock Market) for example to verify the effectiveness of the proposed method, and finally come to the following conclusions: both Private Placement Announcement Date and Issue Date have temporary effect that last 66 trading days and 26 trading days. The average Private Placement Announcement impact on 002237 stock price is RMB 5.57 Yuan and Issue Date impact is RMB 9.12 Yuan. The case study results show that this approach is a promising method from the multi-scale point of view to analyze the impact of announcement day effect in stock market.
