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Table 7 CARs of bullish investors’ sentiments aroused. We investigate whether these CARs including 1-, 2-, 3-, 4-, and 5-week 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 bullish investors’ sentiments aroused. 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 40% bullish investors’ sentiments measured by AAII sentiment survey

 1

0.21%

5.890

***

0.21%

7.497

***

0.68%

8.454

***

 2

0.38%

7.563

***

0.47%

11.993

***

1.39%

12.106

***

 3

0.57%

9.552

***

0.71%

15.496

***

2.05%

14.165

***

 4

0.73%

10.666

***

0.83%

15.383

***

2.85%

16.586

***

 5

0.82%

10.466

***

0.95%

15.828

***

3.67%

18.948

***

Panel B: Over 50% bullish investors’ sentiments measured by AAII sentiment survey

 1

0.06%

0.713

 

0.20%

3.383

***

1.23%

5.694

***

 2

0.13%

1.186

 

0.52%

6.255

***

1.71%

5.582

***

 3

0.45%

3.342

***

0.98%

9.608

***

2.83%

6.677

***

 4

0.51%

3.299

***

1.10%

9.050

***

3.90%

7.764

***

 5

0.60%

3.345

***

1.06%

7.405

***

4.25%

7.500

***