Table 5 CARs of VIX located at 90%, 95%, and 97.5% quantiles. 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 VIXs located at 90%, 95%, and 97.5% quantile. 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: VIX located at 90% quantile | |||||||||
1 | 0.18% | 5.481 | *** | 0.18% | 7.136 | *** | 0.19% | 6.231 | *** |
2 | 0.34% | 7.426 | *** | 0.40% | 10.877 | *** | 0.44% | 10.16 | *** |
3 | 0.52% | 9.572 | *** | 0.60% | 13.421 | *** | 0.72% | 13.653 | *** |
4 | 0.66% | 10.807 | *** | 0.83% | 16.049 | *** | 0.93% | 15.272 | *** |
5 | 0.81% | 12.007 | *** | 1.01% | 17.537 | *** | 1.10% | 16.203 | *** |
Panel B: VIX located at 95% quantile | |||||||||
1 | 0.25% | 4.502 | *** | 0.19% | 4.663 | *** | 0.27% | 5.643 | *** |
2 | 0.43% | 5.668 | *** | 0.38% | 6.181 | *** | 0.55% | 8.23 | *** |
3 | 0.56% | 6.251 | *** | 0.56% | 7.431 | *** | 0.87% | 10.588 | *** |
4 | 0.70% | 6.855 | *** | 0.75% | 8.791 | *** | 1.14% | 11.924 | *** |
5 | 0.92% | 8.186 | *** | 0.93% | 9.661 | *** | 1.44% | 13.428 | *** |
Panel C: VIX located at 97.5% quantile | |||||||||
1 | 0.26% | 2.915 | *** | 0.12% | 1.811 | * | 0.21% | 2.829 | *** |
2 | 0.47% | 3.872 | *** | 0.35% | 3.704 | *** | 0.46% | 4.461 | *** |
3 | 0.66% | 4.535 | *** | 0.48% | 4.086 | *** | 0.71% | 5.567 | *** |
4 | 0.96% | 5.999 | *** | 0.65% | 4.891 | *** | 0.77% | 5.134 | *** |
5 | 1.28% | 7.582 | *** | 1.00% | 6.903 | *** | 0.98% | 5.82 | *** |