Store of value or speculative investment? Market reaction to corporate announcements of cryptocurrency acquisition

Financial Innovation

Table 14 Hypotheses tests on subsamples stratified by sectors

Event Group	Event Window	CAAR	Test
Event Group	Event Window	CAAR	t-test	CDA	Patell	PatellADJ	Corrado- Cowan	GenSign	Wilcox
Financial sector (N = 10)	AAR[0]	0.876	0.33	0.29	0.13	0.10	0.88	0.42	0.80
	[− 1;1]	3.069	0.05	0.03	0.00	0.00	0.17	0.15	0.52
	[− 2;2]	1.925	0.34	0.30	0.01	0.00	0.59	0.42	0.77
	[− 5;5]	0.784	0.80	0.78	0.20	0.15	0.37	0.42	0.80
	[0;1]	2.47	0.05	0.04	0.00	0.00	0.31	0.65	0.55
	[0;3]	1.441	0.42	0.39	0.01	0.00	0.55	0.86	0.69
Consumer cyclical (N = 11)	AAR[0]	− 0.434	0.66	0.65	0.94	0.94	0.37	0.78	0.59
	[− 1;1]	− 1.876	0.27	0.26	0.14	0.17	0.10	0.04	0.12
	[− 2;2]	− 2.806	0.20	0.19	0.26	0.30	0.11	0.37	0.10
	[− 5;5]	− 3.034	0.35	0.34	0.52	0.55	0.26	0.37	0.21
	[0;1]	− 1.274	0.35	0.34	0.32	0.36	0.09	0.14	0.22
	[0;3]	− 1.789	0.36	0.35	0.14	0.17	0.11	0.37	0.23
Technology sector (N = 7)	AAR[0]	3.197	0.04	0.03	0.03	0.02	0.12	0.05	0.09
	[− 1;1]	5.363	0.05	0.03	0.00	0.00	0.01	0.05	0.01
	[− 2;2]	3.903	0.26	0.23	0.05	0.04	0.10	0.22	0.11
	[− 5;5]	4.094	0.43	0.40	0.02	0.02	0.24	0.22	0.38
	[0;1]	4.282	0.05	0.04	0.00	0.00	0.04	0.22	0.04
	[0;3]	4.145	0.18	0.15	0.00	0.00	0.10	0.22	0.14
Other sectors (N = 7)	AAR[0]	− 2.652	0.42	0.39	0.12	0.13	0.08	0.26	0.06
	[− 1;1]	− 0.688	0.90	0.90	0.64	0.65	0.64	0.26	0.85
	[− 2;2]	− 0.394	0.96	0.95	0.75	0.76	0.50	0.26	0.73
	[− 5;5]	0.756	0.94	0.94	0.50	0.52	0.98	0.71	0.66
	[0;1]	− 0.917	0.84	0.83	0.60	0.61	0.57	0.71	0.55
	[0;3]	− 1.356	0.83	0.83	0.34	0.36	0.27	0.26	0.27

The Table shows the p values of each hypothesis test—t-test, Crude Dependence Adjustment test (CDA), Patell test, Adjusted Pattel test, Corrado rank test, Generalized Sign test, and Wilcoxon signed-ranks test for different groups of events based on sectoral classification: Financial Sector (N = 10), Consumer Cyclical (N = 11), Technology Sector (N = 7), and Other Sectors (N = 7, composed of Communication Services [N = 6] and Industrials [N = 1]). We highlight in bold the p-values lower or equal to 0.10
Source: authors' elaboration