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Table 8 CARs of Continuously Falling Prices and K ≤ 20 emitted (2016–2019)

From: Can investors profit by utilizing technical trading strategies? Evidence from the Korean and Chinese stock markets

Holding days

KOSPI 50

SSE 50

N

Mean

t-test

N

Mean

t-test

Panel A: CARs of continuously falling prices and K ≤ 20 emitted

Panel A1: Continuously falling prices and K ≤ 20 for 2 days

      

 1

429

0.17%

1.806*

295

0.26%

2.243**

 2

429

0.27%

1.796*

295

0.33%

2.213**

 3

429

0.31%

1.979*

295

0.46%

2.705***

 4

429

0.15%

0.893

295

0.48%

2.547**

 5

429

0.17%

0.928

295

0.72%

3.714***

Panel A2: Continuously falling prices and K ≤ 20 for 3 days

      

 1

117

0.08%

0.524

81

0.29%

1.675*

 2

117

0.16%

0.682

81

0.38%

1.575

 3

117

0.07%

0.224

81

0.42%

1.493

 4

117

0.19%

0.586

81

0.55%

1.966*

 5

117

0.19%

0.547

81

0.66%

2.038**

Panel A3: Continuously falling prices and K ≤ 20 for 4 days

      

 1

39

0.03%

0.101

19

− 0.38%

− 1.290

 2

39

− 0.11%

− 0.252

19

− 0.13%

− 0.340

 3

39

0.05%

0.116

19

0.33%

0.745

 4

39

0.42%

0.944

19

0.40%

0.717

 5

39

0.56%

0.838

19

0.73%

0.832

Holding days

KOSPI 50

SSE 50

N

Mean

t-test

N

Mean

t-test

Panel B CARs of continuously falling prices and RSI ≤ 30 emitted

Panel B1: Continuously falling prices and RSI ≤ 30 for 2 days

      

 1

203

0.14%

0.903

210

0.07%

0.560

 2

203

0.16%

0.758

210

0.20%

1.259

 3

203

0.51%

1.973**

210

0.25%

1.169

 4

203

0.58%

1.912*

210

0.41%

1.680*

 5

203

0.65%

1.993**

210

0.52%

1.881*

Panel B2: Continuously falling prices and RSI ≤ 30 for 3 days

      

 1

59

0.38%

1.501

51

− 0.10%

− 0.483

 2

59

0.54%

1.377

51

0.18%

0.500

 3

59

0.25%

0.577

51

0.41%

0.996

 4

59

0.52%

1.010

51

0.48%

1.141

 5

59

0.26%

0.480

51

0.62%

1.337

Panel B3: Continuously falling prices and RSI ≤ 30 for 4 days

      

 1

16

0.37%

0.471

19

− 0.71%

− 1.342

 2

16

0.86%

0.644

19

− 0.07%

− 0.135

 3

16

0.72%

0.553

19

0.37%

0.398

 4

16

1.12%

0.794

19

0.91%

0.841

 5

16

0.47%

0.353

19

1.60%

1.486

  1. We investigate whether the CARs, including 1-, 2-, 3-, 4-, and 5-days CARs, would be different from 0 if investors take the long positions on the constituent stocks of KOSPI 50 and SSE 50 as either continuously falling prices for 2, 3, and 4 days occurred. We also present the statistics of t-tests for these CARs. In addition, *, **, and *** represent 10%, 5%, and 1% significance levels, respectively