Table 6 CARs of VIX located at 10%, 5%, and 2.5% 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 10%, 5%, and 2.5% 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 10% quantile | |||||||||
1 | −0.03% | −2.594 | *** | 0.06% | 5.007 | *** | 0.29% | 8.211 | *** |
2 | −0.05% | −2.801 | *** | 0.06% | 3.51 | *** | 0.46% | 8.827 | *** |
3 | −0.05% | −2.292 | ** | 0.07% | 3.49 | *** | 0.63% | 9.629 | *** |
4 | −0.08% | −3.266 | *** | 0.07% | 3.355 | *** | 0.75% | 9.809 | *** |
5 | −0.10% | −3.529 | *** | 0.09% | 3.509 | *** | 0.99% | 11.52 | *** |
Panel B: VIX located at 5% quantile | |||||||||
1 | −0.04% | −2.25 | ** | 0.06% | 3.299 | *** | 0.21% | 3.632 | *** |
2 | −0.07% | −2.844 | *** | 0.08% | 3.678 | *** | 0.37% | 4.383 | *** |
3 | −0.09% | −2.78 | *** | 0.07% | 2.857 | *** | 0.78% | 7.45 | *** |
4 | −0.14% | −3.761 | *** | 0.08% | 2.858 | *** | 1.01% | 8.306 | *** |
5 | −0.18% | −4.384 | *** | 0.07% | 2.017 | ** | 1.21% | 8.747 | *** |
Panel C: VIX located at 2.5% quantile | |||||||||
1 | −0.03% | −1.006 | 0.12% | 6.645 | *** | 0.26% | 2.94 | *** | |
2 | −0.15% | −4.338 | *** | 0.09% | 3.878 | *** | 0.59% | 4.319 | *** |
3 | −0.25% | −5.988 | *** | 0.05% | 1.651 | * | 0.99% | 5.994 | *** |
4 | −0.33% | −6.696 | *** | −0.03% | −0.9 | 1.29% | 6.88 | *** | |
5 | −0.44% | −7.882 | *** | −0.09% | −2.357 | ** | 1.57% | 7.423 | *** |