Table 2 Cumulative abnormal returns for...

Table 2

Cumulative abnormal returns for different sets of markets during the event window

Event window		Global	Developed markets	Emerging markets	Frontier markets	Americas	Europe	Middle East & Africa	Asia & Pacific
Event window		(1,511 companies)	(1,068 companies)	(311 companies)	(132 companies)	(463 companies)	(471 companies)	(75 companies)	(558 companies)
Pre-Event days	(−30, 0)	0.00130***	0.00536***	0.00280*	0.00562	0.00890***	0.00029	−0.00522	0.00468*
		(3.7317)	(3.3551)	(1.8227)	(0.8675)	(4.5532)	(0.1333)	(−0.3159)	(1.9609)
	(−15, 0)	0.00665	0.01002*	0.00262	−0.01109	0.03095***	−0.00271	0.00398	−0.00489
		(1.4440)	(1.7916)	(0.2645)	(−0.8103)	(3.2014)	(−0.3304)	(0.2075)	(−0.7071)
	(−10, 0)	0.01381**	0.01621**	0.01757	−0.01447	0.01478	0.00782	−0.01346	0.01859**
		(2.2826)	(2.1657)	(1.3401)	(−1.1020)	(1.2063)	(0.6852)	(−0.5832)	(2.0045)
	(−5, 0)	0.01975***	0.02698***	0.01022	−0.01628	0.04079***	0.01830	0.01769	0.00781
		(2.8957)	(3.1024)	(0.7924)	(−1.1170)	(2.8715)	(1.5068)	(0.6500)	(0.7462)
	(−1, 0)	0.03577***	0.04659***	0.01881	−0.01190	0.08765***	0.02433*	0.01930	0.00362
		(4.6561)	(4.9346)	(1.1153)	(−0.6942)	(5.3590)	(1.7261)	(0.6331)	(0.3323)
Event days	(0, 0)	0.04792***	0.06002***	0.03479**	−0.01905	0.09944***	0.03423**	0.01930	0.01914*
Event days	(0, 0)	(6.1357)	(6.1398)	(2.2772)	(−0.9492)	(6.1990)	(2.3034)	(0.6331)	(1.7128)
Post-Event days	(0, +1)	0.03976***	0.05042***	0.02692*	−0.01615	0.08062***	0.02499*	0.02880	0.01827
		(5.1987)	(5.3183)	(1.6793)	(−0.8880)	(5.1618)	(1.8218)	(0.9613)	(1.5616)
	(0, +5)	0.00913***	0.10309***	0.07507***	0.03465*	0.13118***	0.08499***	0.04715*	0.06915***
		(11.0816)	(10.1172)	(4.2770)	(1.8084)	(7.7491)	(5.8047)	(1.6939)	(5.3952)
	(0, +10)	0.12303***	0.15292***	0.04962***	0.05414	0.20621***	0.13499***	0.02270	0.05845***
		(12.1907)	(11.7110)	(3.0079)	(2.4300)	(9.1497)	(7.2714)	(0.8864)	(4.4358)
	(0, +15)	0.07367***	0.09293***	0.03192	0.01620	0.12681***	0.09176***	0.00569	0.02510*
		(6.9638)	(6.9408)	1.5329	(0.7591)	(5.4295)	(4.9038)	(0.2043)	(1.6664)
	(0, +30)	0.10048***	0.13139***	0.04956*	−0.02963	0.15154***	0.13731***	0.01734	0.04140**
		(8.5606)	(9.1269)	(1.9567)	(−1.1130)	(6.1376)	(6.4971)	(0.4921)	(2.3639)

Event window		Global	Developed markets	Emerging markets	Frontier markets	Americas	Europe	Middle East & Africa	Asia & Pacific
Event window		(1,511 companies)	(1,068 companies)	(311 companies)	(132 companies)	(463 companies)	(471 companies)	(75 companies)	(558 companies)
Pre-Event days	(−30, 0)	0.00130***	0.00536***	0.00280*	0.00562	0.00890***	0.00029	−0.00522	0.00468*
		(3.7317)	(3.3551)	(1.8227)	(0.8675)	(4.5532)	(0.1333)	(−0.3159)	(1.9609)
	(−15, 0)	0.00665	0.01002*	0.00262	−0.01109	0.03095***	−0.00271	0.00398	−0.00489
		(1.4440)	(1.7916)	(0.2645)	(−0.8103)	(3.2014)	(−0.3304)	(0.2075)	(−0.7071)
	(−10, 0)	0.01381**	0.01621**	0.01757	−0.01447	0.01478	0.00782	−0.01346	0.01859**
		(2.2826)	(2.1657)	(1.3401)	(−1.1020)	(1.2063)	(0.6852)	(−0.5832)	(2.0045)
	(−5, 0)	0.01975***	0.02698***	0.01022	−0.01628	0.04079***	0.01830	0.01769	0.00781
		(2.8957)	(3.1024)	(0.7924)	(−1.1170)	(2.8715)	(1.5068)	(0.6500)	(0.7462)
	(−1, 0)	0.03577***	0.04659***	0.01881	−0.01190	0.08765***	0.02433*	0.01930	0.00362
		(4.6561)	(4.9346)	(1.1153)	(−0.6942)	(5.3590)	(1.7261)	(0.6331)	(0.3323)
Event days	(0, 0)	0.04792***	0.06002***	0.03479**	−0.01905	0.09944***	0.03423**	0.01930	0.01914*
Event days	(0, 0)	(6.1357)	(6.1398)	(2.2772)	(−0.9492)	(6.1990)	(2.3034)	(0.6331)	(1.7128)
Post-Event days	(0, +1)	0.03976***	0.05042***	0.02692*	−0.01615	0.08062***	0.02499*	0.02880	0.01827
		(5.1987)	(5.3183)	(1.6793)	(−0.8880)	(5.1618)	(1.8218)	(0.9613)	(1.5616)
	(0, +5)	0.00913***	0.10309***	0.07507***	0.03465*	0.13118***	0.08499***	0.04715*	0.06915***
		(11.0816)	(10.1172)	(4.2770)	(1.8084)	(7.7491)	(5.8047)	(1.6939)	(5.3952)
	(0, +10)	0.12303***	0.15292***	0.04962***	0.05414	0.20621***	0.13499***	0.02270	0.05845***
		(12.1907)	(11.7110)	(3.0079)	(2.4300)	(9.1497)	(7.2714)	(0.8864)	(4.4358)
	(0, +15)	0.07367***	0.09293***	0.03192	0.01620	0.12681***	0.09176***	0.00569	0.02510*
		(6.9638)	(6.9408)	1.5329	(0.7591)	(5.4295)	(4.9038)	(0.2043)	(1.6664)
	(0, +30)	0.10048***	0.13139***	0.04956*	−0.02963	0.15154***	0.13731***	0.01734	0.04140**
		(8.5606)	(9.1269)	(1.9567)	(−1.1130)	(6.1376)	(6.4971)	(0.4921)	(2.3639)

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): Elaborated by the authors

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