Table 1 Cumulative abnormal returns for...

Table 1

Cumulative abnormal returns for pre-event, the event day and post-event windows by markets

Sectors	Number of company	Pre-event days			Event days			Post-event days
Sectors	Number of company	(−10, 0)	(−5, 0)	(−3, 0)	(−1, 0)	(−1, +1)	(0, +1)	(0, +3)	(0, +5)	(0, +10)
Global markets	1,174	−0.0145***	−0.0091***	−0.0078***	−0.0060***	0.0004	0.0054***	0.0175***	0.0174***	0.0251***
Developed markets	317	−0.0343***	−0.0180***	−0.0108***	−0.0012	0.0102***	0.0126***	0.0302***	0.0365***	0.0424***
Emerging markets	748	−0.0056	−0.0046	−0.0052**	−0.0090***	−0.0047**	0.0026	0.0146***	0.0117***	0.0219***
Frontier markets	109	−0.0173**	−0.0135**	−0.0164***	0.0004	0.0073	0.0040	0.00008	0.0013	−0.0033

Sectors	Number of company	Pre-event days			Event days			Post-event days
Sectors	Number of company	(−10, 0)	(−5, 0)	(−3, 0)	(−1, 0)	(−1, +1)	(0, +1)	(0, +3)	(0, +5)	(0, +10)
Global markets	1,174	−0.0145***	−0.0091***	−0.0078***	−0.0060***	0.0004	0.0054***	0.0175***	0.0174***	0.0251***
Developed markets	317	−0.0343***	−0.0180***	−0.0108***	−0.0012	0.0102***	0.0126***	0.0302***	0.0365***	0.0424***
Emerging markets	748	−0.0056	−0.0046	−0.0052**	−0.0090***	−0.0047**	0.0026	0.0146***	0.0117***	0.0219***
Frontier markets	109	−0.0173**	−0.0135**	−0.0164***	0.0004	0.0073	0.0040	0.00008	0.0013	−0.0033

Note(s): CAR stands for cumulative abnormal return. The ordinate represents the event window. ***, ** and * are significant at 1%, 5% and 10% confidence levels, respectively

Source(s): Authors’ own work

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