Table 4 CARs of diverse sharp falls 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 rises in exchange rates over 0.25%, 0.5%, 0.75%, and 1%. 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% fall in exchange rates | |||||||||
1 | 0.03% | 2.951 | *** | 0.08% | 8.069 | *** | 0.07% | 1.163 | |
2 | 0.08% | 5.084 | *** | 0.17% | 11.902 | *** | 0.25% | 2.748 | *** |
3 | 0.13% | 6.954 | *** | 0.29% | 16.725 | *** | 0.13% | 1.130 | |
4 | 0.18% | 8.588 | *** | 0.34% | 17.394 | *** | 0.31% | 2.434 | ** |
5 | 0.23% | 9.988 | *** | 0.43% | 18.945 | *** | 0.35% | 2.434 | ** |
Panel B: Over 0.5% fall in exchange rates | |||||||||
1 | 0.03% | 1.652 | * | 0.06% | 4.154 | *** | −0.27% | −1.580 | |
2 | 0.11% | 4.479 | *** | 0.15% | 7.228 | *** | −0.38% | −1.505 | |
3 | 0.15% | 4.914 | *** | 0.30% | 11.989 | *** | −0.01% | −0.026 | |
4 | 0.23% | 6.642 | *** | 0.39% | 13.624 | *** | 0.52% | 1.460 | |
5 | 0.30% | 7.734 | *** | 0.51% | 15.257 | *** | 1.35% | 3.268 | *** |
Panel C: Over 0.75% fall in exchange rates | |||||||||
1 | −0.01% | −0.310 | 0.09% | 3.984 | *** | −0.42% | −1.419 | ||
2 | 0.15% | 3.758 | *** | 0.18% | 5.614 | *** | −1.04% | −2.194 | ** |
3 | 0.16% | 3.220 | *** | 0.34% | 8.378 | *** | −0.65% | −1.260 | |
4 | 0.26% | 4.730 | *** | 0.44% | 9.140 | *** | −0.14% | −0.254 | |
5 | 0.34% | 5.464 | *** | 0.60% | 10.649 | *** | 0.77% | 1.227 | |
Panel D: Over 1% fall in exchange rates | |||||||||
1 | 0.03% | 0.657 | 0.09% | 2.444 | ** | – | – | ||
2 | 0.29% | 4.342 | *** | 0.32% | 6.290 | *** | – | – | |
3 | 0.31% | 3.748 | *** | 0.51% | 8.152 | *** | – | – | |
4 | 0.38% | 4.168 | *** | 0.69% | 9.033 | *** | – | – | |
5 | 0.40% | 3.842 | *** | 0.87% | 9.604 | *** | – | – | |