Table 2.
Cumulative abnormal returns in different business types during crash and vaccine event window periods.
| Market | Window | N | Crash event (Mar 11, 2020) |
Vaccine event (Nov 9, 2020) |
||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Mean | Median | t-test | Wilcoxon | Mean | Median | t-test | Wilcoxon | |||
| Panel A | ||||||||||
| Cargo | [-1, +1] | 597 | −3.926% | −3.044% | −9.810*** | −11.252*** | 0.109% | −0.049% | 0.314 | −0.165 |
| Passenger | [-1, +1] | 130 | −6.480% | −3.627% | −7.466*** | −7.279*** | 9.595% | 7.851% | 8.621*** | 7.902*** |
| Cargo | [-3, +3] | 597 | −7.471% | −5.266% | −7.755*** | −9.416*** | 0.738% | −0.264% | 1.486 | −0.222 |
| Passenger | [-3, +3] | 130 | −10.994% | −7.943% | −5.110*** | −5.141*** | 6.819% | 5.896% | 4.923*** | 6.384*** |
| Cargo | [-5, +5] | 597 | −9.335% | −7.706% | −8.100*** | −9.216*** | 2.144% | −0.107% | 3.387*** | −1.860* |
| Passenger | [-5, +5] | 130 | −17.108% | −13.444% | −6.194*** | −5.601*** | 11.693% | 9.690% | 5.283*** | 7.370*** |
| Panel B | ||||||||||
| Air Freight & Logistics | [-1, +1] | 189 | −3.794% | −2.808% | −6.832*** | −6.472*** | −1.399% | −0.665% | −2.884*** | −2.966*** |
| Airlines | [-1, +1] | 98 | −7.108% | −4.579% | −7.412*** | −6.724*** | 9.813% | 8.676% | 7.339*** | 6.518*** |
| Marine | [-1, +1] | 203 | −3.258% | −3.399% | −4.164*** | −6.209*** | 0.218% | 0.087% | 0.344 | 0.519 |
| Railroads | [-1, +1] | 50 | −2.858% | −0.447% | −2.165** | −1.733* | 6.181% | 4.175% | 4.518*** | 5.150*** |
| Trucking | [-1, +1] | 187 | −5.178% | −3.408% | −6.837*** | −6.935*** | 1.399% | 0.082% | 2.022** | 1.769* |
| Air Freight & Logistics | [-3, +3] | 189 | −7.037% | −3.805% | −5.582*** | −4.864*** | −0.770% | −0.800% | −1.145 | −1.807* |
| Airlines | [-3, +3] | 98 | −14.075% | −11.523% | −5.876*** | −5.746*** | 6.714% | 5.896% | 3.820*** | 4.995*** |
| Marine | [-3, +3] | 203 | −7.599% | −7.202% | −4.058*** | −6.465*** | 0.756% | −0.247% | 0.874 | −0.263 |
| Railroads | [-3, +3] | 50 | −1.778% | 0.410% | −0.606 | 0.072 | 4.765% | 3.094% | 3.906*** | 4.107*** |
| Trucking | [-3, +3] | 187 | −8.281% | −4.971% | −4.325*** | −4.761*** | 2.261% | −0.145% | 2.112** | −1.046 |
| Air Freight & Logistics | [-5, +5] | 189 | −7.721% | −3.661% | −4.484*** | −3.943*** | 0.747% | −0.882% | 0.8 | −0.488 |
| Airlines | [-5, +5] | 98 | –23.965% | −20.020% | −7.797*** | −6.749*** | 12.546% | 10.830% | 4.384*** | 6.058*** |
| Marine | [-5, +5] | 203 | −10.962% | −11.078% | −5.217*** | −7.067*** | 2.393% | 0.404% | 2.440** | 2.586*** |
| Railroads | [-5, +5] | 50 | 2.727% | 4.250% | 0.864 | 2.061** | 5.853% | 4.289% | 3.879*** | 4.146*** |
| Trucking | [-5, +5] | 187 | −10.161% | −7.447% | −4.486*** | −5.076*** | 3.480% | −0.107% | 2.441** | −1.135 |
*, **, and *** indicate statistical significance at the 10%, 5%, and 1%, respectively.