Table 9.
Cumulative abnormal return in different industries during event windows
| Obs. | CAR | T-value | Weight | |
|---|---|---|---|---|
| Pharmaceutical Industry | 197 | 0.12 | 16.372*** | 23.12% |
| Manufacture of computers, communication and other electronic equipment | 293 | 0.033 | 4.879*** | 9.46% |
| Software and information technology services | 177 | 0.044 | 5.159*** | 7.62% |
| Real estate | 108 | -0.052 | -10.837*** | 5.49% |
| Manufacture of special purpose machinery | 177 | 0.025 | 2.849*** | 4.33% |
| Manufacture of chemical raw materials and chemical products | 203 | 0.015 | 2.098** | 2.98% |
| Internet and related services | 49 | 0.051 | 2.747*** | 2.44% |
| Business Service Industry | 43 | -0.057 | -6.695*** | 2.40% |
| Manufacture of alcohol, beverages, and refined tea | 34 | -0.064 | -7.331*** | 2.13% |
| Production and distribution of electric power and heat power | 66 | -0.028 | -5.059*** | 1.81% |
| Water transport | 26 | -0.062 | -5.282*** | 1.58% |
| Civil engineering | 57 | -0.026 | -3.791*** | 1.45% |
| Manufacture of non-metallic mineral products | 77 | -0.019 | -2.303** | 1.43% |
| Capital markets services | 41 | -0.035 | -6.657*** | 1.40% |
| Manufacture of general-purpose machinery | 109 | -0.013 | -1.384 | 1.39% |
| Ecological protection and environmental management | 35 | 0.04 | 2.601** | 1.37% |
| Decoration | 23 | -0.058 | -3.716*** | 1.30% |
| Road transport | 33 | -0.04 | -4.196*** | 1.29% |
| Manufacture of chemical fibers | 20 | 0.06 | 2.026* | 1.17% |
| Manufacture of textiles | 30 | 0.038 | 1.978* | 1.12% |
| Retail trade | 76 | -0.015 | -1.368 | 1.12% |
| Management of public facilities | 15 | -0.075 | -5.492*** | 1.10% |
| Mining and washing of coal | 24 | -0.046 | -8.944*** | 1.08% |
| Manufacture of furniture | 19 | -0.054 | -3.202*** | 1.00% |
| Wholesale trade | 70 | 0.014 | 1.173 | 0.96% |
| Smelting and processing of non-ferrous metals | 61 | -0.016 | -1.365 | 0.95% |
| Processing of food from agric. products | 44 | 0.022 | 2.063** | 0.95% |
| Manufacture of railway, ships, aerospace and other transportation equipment | 41 | -0.022 | -1.51 | 0.88% |
| Manufacture of metal products | 53 | -0.015 | -1.45 | 0.78% |
| Other financial activities | 15 | -0.051 | -3.361*** | 0.75% |
| Air transport | 11 | -0.066 | -4.659*** | 0.71% |
| Production and distribution of gas | 18 | -0.04 | -3.428*** | 0.70% |
| Manufacture of articles for culture, education, art, sports, and entertainment | 12 | 0.058 | 1.562 | 0.68% |
| Manufacture of automobiles | 114 | -0.006 | -0.575 | 0.67% |
| Postal services | 4 | 0.169 | 3.856** | 0.66% |
| Ancillary mining activities | 14 | -0.044 | -2.033* | 0.60% |
| Manufacture of foods | 38 | 0.015 | 1.217 | 0.56% |
| Smelting and processing of ferrous metals | 28 | -0.02 | -1.54 | 0.55% |
| News and publishing | 22 | 0.025 | 1.431 | 0.54% |
| Manufacture of leather, fur, feather and related products; footwear industry | 11 | -0.048 | -1.796 | 0.52% |
| Other manufacturing | 13 | -0.038 | -2.009* | 0.48% |
| Manufacture of textiles, clothing; apparel industry | 32 | -0.015 | -0.716 | 0.47% |
| Processing of timber, manufacture of wood, bamboo, rattan, palm, and straw products | 7 | -0.068 | -3.292** | 0.47% |
| Comprehensive use of waste resources | 3 | 0.157 | 5.038** | 0.46% |
| Farming | 14 | 0.033 | 1.924* | 0.45% |
| Monetary and financial services | 25 | -0.018 | -4.92*** | 0.44% |
| Research and experimental development | 4 | 0.112 | 4.076** | 0.44% |
| Accommodation | 6 | -0.074 | -5.503*** | 0.43% |
| Production and distribution of tap water | 14 | 0.03 | 1.311 | 0.41% |
| Complex | 15 | 0.028 | 1.012 | 0.41% |
| Printing and recorded media | 11 | 0.034 | 0.999 | 0.37% |
| Healthcare | 12 | 0.029 | 1.112 | 0.34% |
| Manufacture of rubber and plastics | 65 | -0.005 | -0.507 | 0.32% |
| Extraction of petroleum and natural gas | 6 | -0.054 | -3.542** | 0.32% |
| Professional technical service industry | 42 | -0.007 | -0.591 | 0.29% |
| Education | 8 | 0.035 | 0.888 | 0.27% |
| Insurance | 6 | -0.04 | -3.017** | 0.23% |
| Storage | 7 | -0.034 | -1.042 | 0.23% |
| Railway transport | 4 | -0.057 | -4.621** | 0.22% |
| Telecommunications, radio, television, and satellite transmission services | 14 | -0.016 | -1.395 | 0.22% |
| Manufacture of measuring instruments | 42 | -0.005 | -0.413 | 0.21% |
| Manufacture of electrical machinery and equipment | 203 | -0.001 | -0.175 | 0.20% |
| Animal husbandry | 12 | 0.015 | 0.717 | 0.18% |
| Catering | 2 | -0.086 | -7.094* | 0.17% |
| Leasing | 3 | -0.057 | -6.141** | 0.17% |
| Mining and processing of non-ferrous metal ores | 21 | -0.007 | -0.389 | 0.14% |
| Construction of buildings | 2 | -0.064 | -9.806* | 0.13% |
| Mining and processing of ferrous metal ores | 5 | -0.022 | -0.617 | 0.11% |
| Loading/unloading, removal, and other transport services | 2 | -0.053 | -2.574 | 0.10% |
| Radio, film, television, and (other) audio-visual media | 19 | -0.005 | -0.147 | 0.09% |
| Processing of petroleum, coking, processing of nuclear fuel | 14 | 0.006 | 0.141 | 0.08% |
| Manufacture of paper and paper prod. | 24 | 0.003 | 0.132 | 0.07% |
| Culture and arts | 8 | -0.003 | -0.049 | 0.02% |
| Forestry | 2 | -0.008 | -0.544 | 0.02% |
| Fisheries | 7 | 0.002 | 0.177 | 0.01% |
Notes: This table provides the event-study result in different industries during event windows. The event dates and windows are defined as in Fig. 1. CAR denotes mean cumulative abnormal returns. Obs. denotes the number of stocks in the industry. Weight measures the extent of the impact on the average CAR of the overall market and is calculated as below.
***, **, * indicate significance at the 1%, 5%, and 10% levels, respectively.