Table 8 CARs of bearish 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 bearish 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% bearish investors’ sentiments measured by AAII sentiment survey | |||||||||
1 | 0.21% | 3.065 | *** | 0.33% | 6.357 | *** | 0.59% | 5.110 | *** |
2 | 0.39% | 4.347 | *** | 0.48% | 6.808 | *** | 1.12% | 6.822 | *** |
3 | 0.67% | 6.013 | *** | 0.77% | 8.999 | *** | 1.37% | 6.767 | *** |
4 | 0.98% | 7.676 | *** | 1.22% | 12.595 | *** | 1.47% | 6.273 | *** |
5 | 1.27% | 9.084 | *** | 1.56% | 14.522 | *** | 1.90% | 7.175 | *** |
Panel B: Over 50% bearish investors’ sentiments measured by AAII sentiment survey | |||||||||
1 | 0.19% | 1.004 | 0.13% | 0.946 | −0.16% | −0.539 | |||
2 | 0.50% | 2.150 | ** | −0.09% | −0.474 | 0.29% | 0.718 | ||
3 | 0.76% | 2.583 | *** | 0.53% | 2.272 | ** | −0.57% | −1.190 | |
4 | 1.28% | 3.789 | *** | 1.43% | 5.392 | *** | −0.55% | −0.998 | |
5 | 1.51% | 4.161 | *** | 1.60% | 5.323 | *** | −0.81% | −1.330 | |