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

Fong, Bryan

doi:10.1186/s40854-021-00271-z

Financial Innovation

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
Event day	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

Statistical significance at: 10% Level = *, 5% Level = **, 1% Level = ***, Bootstrapped 5% Level = Bolded

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