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Table 3 CARs of diverse sharp rises in exchange rates. We investigate whether these CARs including 1-, 2-, 3-, 4-, and 5-day CARs would be different from 0 if investors take the long positions in the constituent stocks of DJ 30, FTSE 100, and SSE50 as the sharp rise in exchange rates over 0.25%, 0.5%, 0.75%, and 1% in a day. We also present the statistics of t-tests for these CARs. In addition, *, **, and *** represent 10%, 5%, and 1% significance levels, respectively

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

***