Table 11 Europe – Cumulative Averaged Abnormal Returns (CAARs) over the 5-day event window per Monetary Policy Announcement Category
Policy category | CAAR value (%) | Pos: Neg CAR | Number of CARs | Patell Z | Csect T | Generalized sign Z | Generalized rank Z | Skewness corrected T |
|---|---|---|---|---|---|---|---|---|
Interest rate | − 0.28 | 120:150 | 270 | 2.90E − 01 | 3.76E − 01 | 1.44E − 01 | 4.59E − 01 | 3.68E − 01 |
Foreign exchange | − 0.20 | 140:130 | 270 | 6.60E − 01 | 5.95E − 01 | 4.41E − 01 | 6.69E − 01 | 5.87E − 01 |
Lending operations | − 0.17 | 54:54 | 108 | 6.96E − 01 | 7.87E − 01 | 9.31E − 01 | 9.21E − 01 | 7.81E − 01 |
Asset purchases | − 0.13 | 81:99 | 180 | 9.74E − 01 | 8.00E − 01 | 2.63E − 01 | 9.05E − 01 | 7.96E − 01 |
Other | − 3.92 | 0:18 | 18 | 4.00E − 04 | 8.87E − 08 | 0.00E + 00 | 3.31E − 11 | 1.98E − 07 |