From: Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY
Holding days | (1) | (2) | (3) | ||||||
---|---|---|---|---|---|---|---|---|---|
DJ30 | FTSE100 | SSE50 | |||||||
Returns | t-test | Returns | t-test | Returns | t-test | ||||
Panel A: Over 0.25% rise in exchange rates | |||||||||
1 | 0.04% | 3.492 | *** | 0.07% | 7.013 | *** | −0.03% | −0.479 | |
2 | 0.04% | 2.425 | ** | 0.07% | 5.418 | *** | 0.23% | 2.378 | ** |
3 | 0.07% | 3.476 | *** | 0.12% | 7.406 | *** | 0.10% | 0.876 | |
4 | 0.09% | 3.870 | *** | 0.18% | 9.276 | *** | −0.05% | −0.323 | |
5 | 0.16% | 6.208 | *** | 0.25% | 11.829 | *** | −0.18% | −1.094 | |
Panel B: Over 0.5% rise in exchange rates | |||||||||
1 | 0.07% | 3.372 | *** | 0.10% | 6.678 | *** | 0.56% | 4.483 | *** |
2 | 0.11% | 3.897 | *** | 0.15% | 7.269 | *** | 0.90% | 5.648 | *** |
3 | 0.15% | 4.468 | *** | 0.22% | 8.459 | *** | 0.57% | 2.405 | ** |
4 | 0.16% | 4.179 | *** | 0.36% | 12.270 | *** | −0.30% | −1.016 | |
5 | 0.22% | 5.482 | *** | 0.45% | 13.974 | *** | −1.09% | −3.072 | *** |
Panel C: Over 0.75% rise in exchange rates | |||||||||
1 | 0.18% | 4.998 | *** | 0.10% | 3.797 | *** | 0.15% | 1.046 | |
2 | 0.18% | 3.647 | *** | 0.13% | 3.848 | *** | 0.65% | 3.552 | *** |
3 | 0.21% | 3.695 | *** | 0.20% | 4.767 | *** | 0.30% | 0.955 | |
4 | 0.27% | 4.033 | *** | 0.32% | 6.830 | *** | −0.99% | −2.486 | ** |
5 | 0.34% | 4.769 | *** | 0.36% | 6.958 | *** | −2.04% | −4.079 | *** |
Panel D: Over 1% rise in exchange rates | |||||||||
1 | 0.33% | 5.242 | *** | 0.13% | 3.421 | *** | −0.52% | −1.731 | * |
2 | 0.18% | 2.225 | ** | 0.26% | 5.232 | *** | −0.14% | −0.353 | |
3 | 0.20% | 2.172 | ** | 0.35% | 5.744 | *** | −0.39% | −0.949 | |
4 | 0.19% | 1.696 | * | 0.41% | 5.894 | *** | −1.33% | −2.348 | ** |
5 | 0.43% | 3.694 | *** | 0.42% | 5.861 | *** | −5.10% | −9.548 | *** |