From: Effect of blockchain technology initiatives on firms’ market value
Day − 1 | Day 0 | Day 1 | [Days − 1 and 0] | [Days 0 and 1] | [Days − 1 to 1] | |
---|---|---|---|---|---|---|
Panel A: market model (n = 112) | ||||||
Mean abnormal return (%) | − 1.05 | 3.69 | − 0.31 | 2.64 | 3.38 | 2.33 |
Median abnormal return (%) | − 0.24 | 0.09 | 0.12 | − 0.19 | 0.25 | 0.09 |
% Positive abnormal return | 36.61 | 52.68 | 53.57 | 44.64 | 56.25 | 53.57 |
Cross-sectional t test | − 2.79** | 2.52* | − 0.54 | 1.84 a | 2.38* | 1.74 a |
Patell’s test | − 2.01* | 4.32*** | 1.27 | 1.63 | 3.95*** | 2.07* |
Corrado rank test | − 2.39* | 2.70** | 0.72 | 0.22 | 2.42* | 0.59 |
Wilcoxon signed rank test | − 2.87** | 2.01* | 0.01 | − 0.13 | 2.01* | 0.68 |
Generalized sign test | − 2.36* | 1.05 | 1.24 | − 0.66 | 1.80 a | 1.24 |
Panel B: market-adjusted model (n = 112) | ||||||
Mean abnormal return (%) | − 0.94 | 3.70 | − 0.21 | 2.77 | 3.50 | 2.56 |
Median abnormal return (%) | − 0.29 | 0.17 | 0.11 | − 0.07 | 0.40 | 0.07 |
% Positive abnormal return | 38.40 | 54.46 | 53.57 | 47.32 | 61.61 | 50.70 |
Cross-sectional t test | − 2.59* | 2.55* | − 0.38 | 1.94 a | 2.48* | 1.93 a |
Patell’s test | − 1.81 a | 4.55*** | 1.45 | 1.94 a | 4.25*** | 2.42* |
Corrado rank test | − 2.51* | 2.56* | 0.59 | 0.04 | 2.22* | 0.37 |
Wilcoxon signed rank test | − 2.63** | 2.15* | 0.24 | 0.24 | 2.51* | 1.23 |
Generalized sign test | − 2.27* | 1.13 | 0.94 | − 0.38 | 2.21* | 0.19 |
Panel C: mean-adjusted model (n = 112) | ||||||
Mean abnormal return (%) | − 0.92 | 3.57 | − 0.10 | 2.65 | 3.47 | 2.55 |
Median abnormal return (%) | − 0.41 | 0.19 | 0.11 | − 0.27 | 0.40 | 0.39 |
% Positive abnormal return | 35.71 | 55.36 | 57.14 | 44.64 | 61.61 | 55.36 |
Cross-sectional t test | − 2.48* | 2.45* | − 0.18 | 1.84 a | 2.44* | 1.88 a |
Patell’s test | − 1.41 | 4.06*** | 1.99* | 1.87 a | 4.28*** | 2.68** |
Corrado rank test | − 2.41* | 2.41* | 1.05 | 0.00 | 2.45* | 0.61 |
Wilcoxon signed rank test | − 2.64** | 1.94 a | 0.87 | 0.24 | 2.94** | 1.24 |
Generalized sign test | − 2.69** | 1.47 | 1.84 a | − 0.80 | 2.79** | 1.47 |
Panel D: size-adj model (n = 102)b | ||||||
Mean abnormal return (%) | − 0.93 | 3.09 | 0.10 | 2.16 | 3.19 | 2.26 |
Median abnormal return (%) | − 0.40 | 0.18 | 0.12 | − 0.32 | 0.42 | 0.40 |
%Positive | 36.27 | 53.92 | 56.86 | 44.12 | 61.76 | 54.90 |
Cross-sectional t test | − 2.37* | 2.09* | 0.17 | 1.49 | 2.15 | 1.62 |
Patell test | − 0.72 | 3.17** | 1.84 a | 1.74 a | 3.54*** | 2.48* |
Corrado rank test | − 2.09* | 2.07* | 1.86 | − 0.01 | 2.78** | 1.06 |
Wilcoxon signed rank test | − 2.47* | 1.66 a | 1.19 | − 0.18 | 2.96** | 1.14 |
Generalized sign test | − 2.78** | 0.78 | 1.38 | − 1.20 | 2.36* | 0.98 |
Panel E: industry-adj model (n = 112) | ||||||
Mean abnormal return (%) | − 0.85 | 3.64 | − 0.03 | 2.79 | 3.61 | 2.76 |
Median abnormal return (%) | − 0.39 | 0.21 | 0.11 | − 0.18 | 0.46 | 0.43 |
%Positive | 36.61 | 55.36 | 55.36 | 47.32 | 61.61 | 56.25 |
Cross-sectional t test | − 2.33* | 2.51* | − 0.05 | 1.95a | 2.56* | 2.07* |
Patell test | − 0.82 | 4.03*** | 1.83a | 2.27* | 4.14*** | 2.91** |
Corrado rank test | − 1.96* | 2.55* | 1.92a | 0.41 | 3.16** | 1.45 |
Wilcoxon signed rank test | − 2.52* | 2.18* | 1.01 | 0.54 | 3.27** | 1.76a |
Generalized sign test | − 2.74** | 1.23 | 1.23 | − 0.47 | 2.55* | 1.42 |