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

Financial Innovation

Table 3 Hypothesis tests applied to different event windows, full sample and stratification by type of event

Event group	Event window	CAAR	Test
Event group	Event window	CAAR	t-test	CDA	Patell	PatellADJ	Corrado- Cowan	GenSign	Wilcox
All events (N = 35)	AAR[0]	0.223	0.78	0.77	0.26	0.23	0.51	0.51	0.49
	[− 1;1]	1.222	0.37	0.36	0.01	0.00	0.53	0.98	0.69
	[− 2;2]	0.37	0.83	0.83	0.13	0.11	0.77	0.98	0.75
	[− 5;5]	0.24	0.93	0.92	0.10	0.08	0.75	0.51	0.98
	[0;1]	0.978	0.38	0.37	0.03	0.02	0.88	0.49	0.90
	[0;3]	0.407	0.80	0.79	0.13	0.11	0.61	0.72	0.70
Investment/Acquisition (N = 21)	AAR[0]	0.758	0.54	0.54	0.13	0.12	0.79	0.42	0.88
	[− 1;1]	2.39	0.27	0.26	0.00	0.00	0.35	0.71	0.46
	[− 2;2]	1.053	0.70	0.70	0.07	0.06	0.79	0.35	0.84
	[− 5;5]	0.671	0.87	0.87	0.11	0.10	0.74	0.71	0.94
	[0;1]	1.997	0.25	0.25	0.00	0.00	0.40	0.95	0.54
	[0;3]	0.881	0.72	0.72	0.02	0.01	0.90	0.62	0.83
Means of payment (N = 12)	AAR[0]	− 0.729	0.34	0.33	0.88	0.88	0.41	0.61	0.27
	[− 1;1]	− 0.453	0.73	0.72	0.78	0.79	0.93	0.61	0.74
	[− 2;2]	− 0.823	0.63	0.62	0.90	0.91	0.81	0.52	0.62
	[− 5;5]	− 0.517	0.84	0.83	0.42	0.44	0.88	0.52	0.88
	[0;1]	− 0.827	0.45	0.43	0.61	0.63	0.35	0.28	0.30
	[0;3]	− 0.417	0.79	0.78	0.49	0.51	0.60	0.94	0.65
Divestment (N = 2)	AAR[0]	0.316	0.88	0.85	0.82	0.83	0.74	0.18	0.18
	[− 1;1]	− 0.996	0.78	0.74	0.60	0.61	0.94	0.95	0.60
	[− 2;2]	0.349	0.94	0.93	0.95	0.95	0.78	0.18	0.33
	[− 5;5]	0.258	0.97	0.96	0.76	0.77	0.90	0.95	0.94
	[0;1]	1.111	0.71	0.65	0.68	0.70	0.68	0.95	0.27
	[0;3]	0.38	0.93	0.91	0.92	0.93	0.89	0.95	0.78

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 its type: all events (full sample), investment/acquisition of cryptocurrencies, acceptance as means of payment, and divestment. We highlight in bold the p-values lower or equal to 0.10
Source: authors' elaboration