Table 3.

Test statistics for single days

	Full sample
	2 Apr	3 Apr	6 Apr	7 Apr	8 Apr	9 Apr	14 Apr
Average abnormal return (%)	0.6447	− 3.2290	0.6684	2.5495	− 1.0765	1.1867	− 2.1149
Test statistic tS	1.2439	− 6.2304	1.2896	4.9193	− 2.0771	2.2898	− 4.0808
Cumulative distribution function (%)	89.3238	0.0000	90.1404	100.0000	1.8894	98.8983	0.0022
Significance of negative abnormal return		***			**		***

	Reduced sample
	2 Apr	3 Apr	6 Apr	7 Apr	8 Apr	9 Apr	14 Apr
Average abnormal return (%)	4.0755	− 4.2818	− 0.4327	2.0905	− 0.6669	1.4422	− 2.7471
Test statistic tS	6.3604	− 6.6824	− 0.6753	3.2626	− 1.0408	2.2508	− 4.2873
Cumulative distribution function (%)	100.0000	0.0000	24.9741	99.9448	14.8991	98.7801	0.0009
Significance of negative abnormal return		***					***

	Residual sample
	2 Apr	3 Apr	6 Apr	7 Apr	8 Apr	9 Apr	14 Apr
Average abnormal return (%)	− 0.6419	− 2.8342	1.0812	2.7216	− 1.2301	1.0909	− 1.8779
Test statistic tS	− 1.2108	− 5.3462	2.0396	5.1339	− 2.3204	2.0578	− 3.5423
Cumulative distribution function (%)	11.2993	0.0000	97.9306	100.0000	1.0158	98.0196	0.0198
Significance of negative abnormal return		***			**		***

Test statistics are calculated according to Formula (5). The numbers for cumulative distribution function provide the quantiles for a standard normal distribution. This means for the numbers close to 100%, abnormal returns are significantly positive; for the numbers close to 0% abnormal returns are significantly negative. ***, ** and * represent a confidence level lower than 1%, 5% and 10% for the significance of negative abnormal return, respectively

Source own calculations