Cumulative abnormal returns before, during and after the detection of Covid-19 case and announcement of fiscal measure during first and second waves
| Event window | First wave | Second wave | ||
|---|---|---|---|---|
| First confirmed case | Fiscal measure | First vaccine | Abnormal confirmed case | |
| (−30, 0) | 1.241616*** (4.869601) | −0.61755*** (−102.871) | 0.192782*** (27.18336) | −0.02298*** (−3.12826) |
| (−25, 0) | −1.54057*** (−6.0421) | 0.145511*** (24.23929) | −0.29989*** (−42.2864) | 0.183398*** (24.96058) |
| (−20, 0) | 0.757862*** (2.972323) | −0.23353*** (−38.901) | 0.180864*** (25.50287) | −0.03381*** (−4.60211) |
| (−15, 0) | 0.081909 (0.321246) | −0.35166*** (−58.5801) | 0.681387*** (96.07952) | 0.756385*** (102.9445) |
| (−10, 0) | 0.149358 (0.585779) | 0.337485*** (56.21841) | 1.421493*** (200.4386) | 0.287239*** (39.09343) |
| (−5, 0) | −1.18755*** (−4.65757) | −0.50498*** (−84.1198) | 0.539838*** (76.12028) | 1.060435*** (144.3259) |
| (0, 0) | 1.503026*** (5.894849) | 0.822993*** (137.0947) | −1.26174*** (−177.912) | 0.11347*** (15.4434) |
| (0, +5) | −0.93067*** (−3.65007) | 0.278572*** (46.40471) | 0.636912*** (89.80827) | 1.552299*** (211.2689) |
| (0, +10) | 0.16981 (0.665991) | 0.194695*** (32.43245) | 0.236952*** (33.41152) | 0.754823*** (102.732) |
| (0, +15) | −0.95757*** (−3.75558) | 0.612704*** (102.0647) | −0.23627*** (−33.3159) | −2.06196*** (−280.634) |
| (0, +20) | −0.74891*** (−2.93723) | −0.92107*** (−153.432) | 0.664407*** (93.68514) | 0.97552*** (132.7689) |
| (0, +25) | 0.201963 (0.792095) | 0.119963*** (19.98349) | 0.224794*** (31.69724) | −2.07841*** (−282.874) |
| (0, +30) | −0.40677 (−1.59533) | −0.58541*** (−97.5184) | 0.374318*** (52.78092) | −0.08063*** (−10.9738) |
| Event window | First wave | Second wave | ||
|---|---|---|---|---|
| First confirmed case | Fiscal measure | First vaccine | Abnormal confirmed case | |
| (−30, 0) | 1.241616*** (4.869601) | −0.61755*** (−102.871) | 0.192782*** (27.18336) | −0.02298*** (−3.12826) |
| (−25, 0) | −1.54057*** (−6.0421) | 0.145511*** (24.23929) | −0.29989*** (−42.2864) | 0.183398*** (24.96058) |
| (−20, 0) | 0.757862*** (2.972323) | −0.23353*** (−38.901) | 0.180864*** (25.50287) | −0.03381*** (−4.60211) |
| (−15, 0) | 0.081909 (0.321246) | −0.35166*** (−58.5801) | 0.681387*** (96.07952) | 0.756385*** (102.9445) |
| (−10, 0) | 0.149358 (0.585779) | 0.337485*** (56.21841) | 1.421493*** (200.4386) | 0.287239*** (39.09343) |
| (−5, 0) | −1.18755*** (−4.65757) | −0.50498*** (−84.1198) | 0.539838*** (76.12028) | 1.060435*** (144.3259) |
| (0, 0) | 1.503026*** (5.894849) | 0.822993*** (137.0947) | −1.26174*** (−177.912) | 0.11347*** (15.4434) |
| (0, +5) | −0.93067*** (−3.65007) | 0.278572*** (46.40471) | 0.636912*** (89.80827) | 1.552299*** (211.2689) |
| (0, +10) | 0.16981 (0.665991) | 0.194695*** (32.43245) | 0.236952*** (33.41152) | 0.754823*** (102.732) |
| (0, +15) | −0.95757*** (−3.75558) | 0.612704*** (102.0647) | −0.23627*** (−33.3159) | −2.06196*** (−280.634) |
| (0, +20) | −0.74891*** (−2.93723) | −0.92107*** (−153.432) | 0.664407*** (93.68514) | 0.97552*** (132.7689) |
| (0, +25) | 0.201963 (0.792095) | 0.119963*** (19.98349) | 0.224794*** (31.69724) | −2.07841*** (−282.874) |
| (0, +30) | −0.40677 (−1.59533) | −0.58541*** (−97.5184) | 0.374318*** (52.78092) | −0.08063*** (−10.9738) |
Note(s): Figures within parenthesis represent t-values. The ordinate indicates the even window. ***, ** and * are the significant at 1%, 5% and 10%, respectively
Source(s): Author’s computation
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