Table 5.
Cumulative abnormal return in the event window (0, 6).
| Index | CARi (0, 6) | t-Test | p-Value |
|---|---|---|---|
| HSI | −0.0792506 ** | −1.975444 | 0.0482178 |
| KLSE | −0.0258508 * | −1.874593 | 0.0608488 |
| AAXJ | −0.0443531 * | −1.786196 | 0.0740676 |
| GSPTSE | 0.0065514 * | 1.93884 | 0.0525208 |
| N225 | −0.0317926 * | −1.664644 | 0.0959838 |
| SET50 | −0.0446717 * | −1.836844 | 0.066233 |
| GDAXI | 0.0135345 | 0.5680507 | 0.5700005 |
| AXJO | −0.00571 | −0.2690441 | 0.7878957 |
| KOSPI | −0.0482862 | −1.178526 | 0.2385869 |
| FTSE100 | 0.001566 | 0.079654 | 0.9365125 |
| IMOEX.ME | −0.0243261 | −1.093912 | 0.2739936 |
| FTMIB | 0.0230502 | 0.8349835 | 0.4037271 |
| SZCS | −0.0796273 | −0.7984056 | 0.4246351 |
| JKSE | −0.0192188 | −1.312946 | 0.1892012 |
| NSEI | −0.0255788 | −1.424322 | 0.1543534 |
| ADX | −0.001587 | −0.0890671 | 0.9290286 |
| SSEC | −0.0910787 | −1.095587 | 0.2732597 |
| TPE TAIEX | −0.0373395 | −0.56546 | 0.5717609 |
| CAC40 | −0.0003477 | −0.0180654 | 0.9855867 |
| DJIA | 0.0035989 | 0.7588902 | 0.4479183 |
| STI | –0.0234682 | –1.011555 | 0.3117507 |
Notes: * Significant at the 10% level. ** Significant at the 5% level.