Table 5.
Cumulative abnormal returns (CAR) over the event window (0, 10)
| Sector | Hotel [7] | Automobile [23] | Banking and Insurance [39] | Chemicals [35] | Construction [31] |
|---|---|---|---|---|---|
| Market Model (MM) | −4.49 (−1.94)⁎ | −3.01 (−1.04) | −3.12 (−1.33) | −3.19 (−1.79) | −5.04 (−1.86) |
| MM-GARCH(1,1) | −5.13 (−2.01)⁎ | −4.39 (−3.03)⁎⁎ | −3.01 (−1.31) | −3.73 (−2.49)⁎⁎ | −6.09 (−2.35)⁎ |
| MM-TGARCH(1,1) | −8.38 (−3.54)⁎⁎ | −8.59 (−3.00)⁎⁎ | −2.24 (−1.04) | −3.99 (−2.58)⁎⁎ | −5.96 (−2.33)⁎ |
| MM-EGARCH(1,1) | −6.83 (−2.72)⁎⁎ | −5.96 (−2.07)⁎ | −2.26 (−1.09) | −3.46 (−2.38)⁎ | −6.19 (−2.44)⁎⁎ |
| Sector | Department Stores [10] | Foods [20] | Plastics [9] | Textiles [44] | Transportation [18] |
| Market Model (MM) | −2.51 (−1.77) | −3.53 (−2.10)⁎ | −2.00 (−0.93) | −4.09 (−1.90) | .72 (.23) |
| MM-GARCH(1,1) | −2.60 (−2.16)⁎ | −4.39 (−2.15)⁎ | −2.06 (−1.34) | −5.01 (−2.64)⁎⁎ | −.17 (−.07) |
| MM-TGARCH(1,1) | −3.04 (−2.66)⁎⁎ | −4.10 (−2.16)⁎ | −2.66 (−1.80) | −4.38 (−2.38)⁎⁎ | −.19 (−.08) |
| MM-EGARCH(1,1) | −3.01 (−2.37)⁎⁎ | −3.34 (−2.07)⁎ | −2.69 (−1.84) | −5.41 (−2.96)⁎⁎ | −1.61 (−.72) |
Note: The number of total firms included in each sector is in bracket. t-statistics are in parentheses.
⁎
Significant at the .05 level.
⁎⁎
Significant at the .01 level.