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Financial Innovation

Table 7 Light a lamp, bond yields and exchange rate

From: Light a lamp and look at the stock market

Variables

Event

Controls

Observations

R-squared

Panel A: Bond

 3-Month

− 5.773

(3.800)

Yes

36

0.208

 6-Month

− 0.972

(2.913)

Yes

36

0.272

 1-Year

− 1.006

(3.059)

Yes

36

0.378

 3-Year

1.179

(1.968)

Yes

36

0.237

 5-Year

2.908

(2.845)

Yes

36

0.100

 10-Year

2.813

(1.696)

Yes

36

0.133

 15-Year

1.561

(1.229)

Yes

36

0.087

 19-Year

2.411*

(1.216)

Yes

36

0.236

 24-Year

2.723**

(1.090)

Yes

36

0.216

 30-Year

2.709***

(0.975)

Yes

36

0.288

Panel B: Exchange rate

 USD/INR

0.0100

(0.038)

Yes

36

0.106

  1. Panel A provides the regression result of the percentage change in the yields on its past value, month dummies, day of the week dummies and Event. Yields of 3-month, 6-month, 1-year, 3-year, 10-year, 15-year, 19-year, 24-year and 30-year government securities are used. Panel B provides a regression result of the percentage change in the exchange rate (USD/INR) on its past value, month dummies, day of the week dummies and Event. Event is a dummy variable that takes value 1 for the post-event trading day; zero otherwise. Robust standard errors in parentheses ***p < 0.01, **p < 0.05, *p < 0.1
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