Table 4.
Cumulative abnormal returns (CAR) over the event window (−10, 0)
| Sector | Hotel [7] | Automobile [23] | Banking [39] | Chemicals [35] | Construction [31] |
|---|---|---|---|---|---|
| Market Model (MM) | 2.22 (.56) | −1.55 (−.46) | 1.77 (.75) | −.17 (−.04) | .21 (.06) |
| MM-GARCH(1,1) | 2.68 (.57) | −1.98 (−.75) | 2.19 (.84) | −.18 (−.04) | .29 (.07) |
| MM-TGARCH(1,1) | 1.89 (.27) | −1.42 (−.45) | 1.59 (.55) | −.51 (−.12) | .32 (.08) |
| MM-EGARCH(1,1) | .83 (.15) | −1.30 (−.40) | 1.04 (.32) | −.38 (−.11) | .06 (.01) |
| Sector | Department stores [10] | Foods [20] | Plastics [9] | Textiles [44] | Transportation [18] |
| Market Model (MM) | .80 (.48) | −.61 (−.16) | −1.14 (−.30) | −.98 (−.28) | −2.72 (−.56) |
| MM-GARCH(1,1) | 1.27 (.81) | −.49 (−.14) | −1.22 (−.40) | −.96 (−.26) | −2.94 (−.64) |
| MM-TGARCH(1,1) | 1.29 (.92) | −.42 (−.12) | −2.08 (−.64) | −1.19 (−.32) | −3.13 (−.66) |
| MM-EGARCH(1,1) | 1.54 (1.11) | −.62 (−.18) | −1.52 (−1.04) | −1.17 (−.32) | −3.21 (−.68) |
Note: The number of total firms included in each sector is in bracket. t-statistics are in parentheses.