Table 3.
Cumulative abnormal returns in developed and emerging markets 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 | |||
| Developed markets | [-1, +1] | 358 | −4.418% | −2.737% | −7.286*** | −8.040*** | 2.590% | 0.788% | 4.108*** | 4.105*** |
| Emerging markets | [-1, +1] | 369 | −4.349% | −3.741% | −10.493*** | −10.731*** | 1.043% | 0.195% | 2.619*** | 1.936* |
| Developed markets | [-3, +3] | 358 | −7.155% | −4.729% | −4.592*** | −5.411*** | 1.307% | −0.176% | 1.731* | −1.214 |
| Emerging markets | [-3, +3] | 369 | −9.019% | −6.548% | −10.604*** | −9.986*** | 2.328% | 0.614% | 3.805*** | 3.322*** |
| Developed markets | [-5, +5] | 358 | −8.794% | −5.685% | −4.675*** | −4.758*** | 3.209% | 0.476% | 2.947*** | 3.337*** |
| Emerging markets | [-5, +5] | 369 | −12.598% | −9.894% | −11.902*** | −10.441*** | 4.475% | 1.394% | 5.736*** | 4.939*** |
*, **, and *** indicate statistical significance at the 10%, 5%, and 1%, respectively.