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Table 2 Chinese ADR delisting threat event study results

From: Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation

Event day Cross-sectional results Cross-sectional cumulative test statistics Bootstrapped normal distributions: means and two-tailed 95% crit. values
AAR CAAR T-Test Z Patell Adj. Z Patell T-Test Z Patell Adj. Z Patell
0 − 0.016799 − 0.016799 − 4.511603*** − 6.313699*** − 1.632980 − 7.50e−08 ± 3.910770 3.69e−07 ± 4.647513 9.55e−08 ± 1.202036
1 − 0.003293 − 0.020091 − 3.815459*** − 4.411101*** − 1.140890 − 2.79e−08 ± 3.272632 3.41e−07 ± 3.639121 8.81e−08 ± 0.941225
2 0.008693 − 0.011399 − 1.767461* − 1.591624 − 0.411659 3.2e−08 ± 3.243819 1.65e−07 ± 3.333734 4.27e−08 ± 0.862239
3 0.017480 0.006081 0.816564 1.725958* 0.446403 − 1.84e−08 ± 2.772181 1.24e−07 ± 3.260886 3.20e−08 ± 0.843398
4 0.006830 0.012911 1.550669 2.701564*** 0.698735 2.01e−08 ± 2.665905 1.18e−07 ± 3.045232 3.06e−08 ± 0.787621
5 − 0.012358 0.000553 0.060595 0.573809 0.148410 − 5.87e−09 ± 2.560256 1.33e−07 ± 2.929651 3.43e−08 ± 0.757727
6 − 0.002246 − 0.001693 − 0.171853 0.124803 0.032279 − 5.44e−09 ± 2.686922 1.58e−07 ± 2.915622 4.09e−08 ± 0.754099
7 − 0.001201 − 0.002894 − 0.274744 − 0.017087 − 0.004419 − 4.02e−08 ± 2.552700 2.08e−07 ± 2.939094 5.38e−08 ± 0.760169
8 − 0.003742 − 0.006636 − 0.594052 − 0.388312 − 0.100433 − 1.06e−08 ± 2.542586 2.08e−07 ± 2.897774 5.39e−08 ± 0.749482
9 − 0.003491 − 0.010127 − 0.860067 − 0.380519 − 0.098418 − 1.13e−08 ± 2.753750 2.30e−07 ± 3.189146 5.95e−08 ± 0.824843
10 0.008476 − 0.001651 − 0.133654 0.513696 0.132863 1.30e−08 ± 2.620065 2.04e−07 ± 3.032666 5.29e−08 ± 0.784371
11 0.004845 0.003194 0.247628 0.735337 0.190188 2.04e−08 ± 2.589723 1.02e−07 ± 2.843265 2.63e−08 ± 0.735384
12 − 0.000492 0.002702 0.201271 0.622304 0.160953 2.71e−08 ± 2.830568 1.14e−07 ± 2.859409 2.96e−08 ± 0.739560
13 0.000984 0.003686 0.264595 0.756633 0.195696 2.82e−08 ± 2.856353 1.63e−07 ± 3.085974 4.21e−08 ± 0.798158
14 0.001016 0.004703 0.326086 0.745946 0.192932 1.99e−08 ± 2.761991 1.53e−07 ± 2.907198 3.96e−08 ± 0.751920
15 − 0.005060 − 0.000358 − 0.024014 0.190392 0.049243 2.89e−08 ± 2.802960 1.22e−07 ± 2.891613 3.15e−08 ± 0.747889
  1. Statistical significance at: 10% Level = *, 5% Level = **, 1% Level = ***, Bootstrapped 5% Level = Bolded