Average and cumulative average abnormal returns and corresponding t-values for public sector banks (N = 12) and private sector banks (N = 10)
| Days | Public sector banks (N = 12) | Private sector banks (N = 10) | Entire sample (N = 22) | |||
|---|---|---|---|---|---|---|
| AAR | CAAR | AAR | CAAR | AAR | CAAR | |
| t − 10 | −0.004 (−1.363) | −0.004 (−0.411) | −0.001 (−0.487) | −0.001 (−0.147) | −0.003 (−1.351) | −0.003 (−0.407) |
| t − 9 | −0.002 (−0.563) | −0.005 (−0.609) | −0.008 (−2.633*) | −0.009 (−0.987) | −0.004 (−2.144*) | −0.007 (−1.105) |
| t − 8 | 0.004 (1.483) | −0.001 (−0.148) | 0.007 (2.515*) | −0.002 (−0.202) | 0.005 (2.765*) | −0.001 (−0.244) |
| t − 7 | 0.002 (0.654) | 0.001 (0.074 | 0.001 (0.352) | −0.001 (−0.089) | 0.001 (0.725) | 0.000 (−0.002) |
| t − 6 | −0.007 (−2.363*) | −0.006 (−0.814) | −0.006 (−2.024) | −0.006 (−0.861) | −0.006 (−3.111**) | −0.006 (−1.178) |
| t−5 | −0.003 (−1.201) | −0.009 (−1.369) | −0.009 (−3.280**) | −0.016 (−2.268*) | −0.006 (−3.050**) | −0.012 (−2.517*) |
| t − 4 | −0.006 (−2.126) | −0.015 (−2.450*) | −0.007 (−2.429*) | −0.023 (−3.571**) | −0.006 (−3.196**) | −0.019 (−4.187**) |
| t − 3 | −0.003 (−1.101) | −0.018 (−3.290**) | −0.006 (−1.929) | −0.028 (−4.957**) | −0.004 (−2.093*) | −0.023 (−5.727**) |
| t − 2 | 0.001 (0.281) | −0.017 (−3.637**) | 0.000 (0.078) | −0.028 (−5.679**) | 0.001 (0.264) | −0.022 (−6.461**) |
| t − 1 | 0.003 (1.182) | −0.014 (−3.619**) | 0.000 (−0.033) | −0.028 (−6.979**) | 0.002 (0.875) | −0.021 (−7.295**) |
| t | 0.003 (0.907) | −0.012 (−4.210**) | 0.011 (3.721**) | −0.018 (−6.148**) | 0.006 (3.115**) | −0.014 (−7.202**) |
| t + 1 | 0.000 (−0.161) | −0.012 (−3.091*) | 0.006 (2.120) | −0.011 (−2.848*) | 0.003 (1.261) | −0.012 (−4.201**) |
| t + 2 | 0.000 (−0.121) | −0.012 (−2.594*) | 0.004 (1.458) | −0.007 (−1.484) | 0.002 (0.859) | −0.010 (−2.934**) |
| t + 3 | 0.008 (2.938*) | −0.004 (−0.777) | 0.001 (0.427) | −0.006 (−1.071) | 0.005 (2.505*) | −0.005 (−1.288) |
| t + 4 | −0.004 (−1.287) | −0.008 (−1.271) | −0.006 (−2.219) | −0.012 (−1.951) | −0.005 (−2.423*) | −0.010 (−2.235*) |
| t + 5 | 0.000 (0.016) | −0.008 (−1.153) | −0.001 (−0.187) | −0.013 (−1.857) | 0.000 (−0.11) | −0.01 0 (−2.086*) |
| t + 6 | −0.003 (−1.159) | −0.011 (−1.506) | −0.002 (−0.718) | −0.015 (−1.991) | −0.003 (−1.347) | −0.013 (−2.440*) |
| t + 7 | −0.005 (−1.700) | −0.016 (−2.010) | −0.001 (−0.411) | −0.016 (−2.007) | −0.003 (−1.557) | −0.016 (−2.833**) |
| t + 8 | 0.000 (0.031) | −0.016 (−1.885) | 0.001 (0.47) | −0.015 (−1.736) | 0.001 (0.330) | −0.015 (−2.561*) |
| t + 9 | −0.003 (−1.230) | −0.019 (−2.177) | −0.001 (−0.516) | −0.016 (−1.810) | −0.003 (−1.269) | −0.018 (−2.831**) |
| t + 10 | −0.003 (−1.250) | −0.022 (−2.452*) | 0.006 (2.115) | −0.010 (−1.088) | 0.001 (0.432) | −0.017 (−2.569*) |
| Days | Public sector banks ( | Private sector banks ( | Entire sample ( | |||
|---|---|---|---|---|---|---|
| AAR | CAAR | AAR | CAAR | AAR | CAAR | |
| −0.004 (−1.363) | −0.004 (−0.411) | −0.001 (−0.487) | −0.001 (−0.147) | −0.003 (−1.351) | −0.003 (−0.407) | |
| −0.002 (−0.563) | −0.005 (−0.609) | −0.008 (−2.633*) | −0.009 (−0.987) | −0.004 (−2.144*) | −0.007 (−1.105) | |
| 0.004 (1.483) | −0.001 (−0.148) | 0.007 (2.515*) | −0.002 (−0.202) | 0.005 (2.765*) | −0.001 (−0.244) | |
| 0.002 (0.654) | 0.001 (0.074 | 0.001 (0.352) | −0.001 (−0.089) | 0.001 (0.725) | 0.000 (−0.002) | |
| −0.007 (−2.363*) | −0.006 (−0.814) | −0.006 (−2.024) | −0.006 (−0.861) | −0.006 (−3.111**) | −0.006 (−1.178) | |
| −0.003 (−1.201) | −0.009 (−1.369) | −0.009 (−3.280**) | −0.016 (−2.268*) | −0.006 (−3.050**) | −0.012 (−2.517*) | |
| −0.006 (−2.126) | −0.015 (−2.450*) | −0.007 (−2.429*) | −0.023 (−3.571**) | −0.006 (−3.196**) | −0.019 (−4.187**) | |
| −0.003 (−1.101) | −0.018 (−3.290**) | −0.006 (−1.929) | −0.028 (−4.957**) | −0.004 (−2.093*) | −0.023 (−5.727**) | |
| 0.001 (0.281) | −0.017 (−3.637**) | 0.000 (0.078) | −0.028 (−5.679**) | 0.001 (0.264) | −0.022 (−6.461**) | |
| 0.003 (1.182) | −0.014 (−3.619**) | 0.000 (−0.033) | −0.028 (−6.979**) | 0.002 (0.875) | −0.021 (−7.295**) | |
| 0.003 (0.907) | −0.012 (−4.210**) | 0.011 (3.721**) | −0.018 (−6.148**) | 0.006 (3.115**) | −0.014 (−7.202**) | |
| 0.000 (−0.161) | −0.012 (−3.091*) | 0.006 (2.120) | −0.011 (−2.848*) | 0.003 (1.261) | −0.012 (−4.201**) | |
| 0.000 (−0.121) | −0.012 (−2.594*) | 0.004 (1.458) | −0.007 (−1.484) | 0.002 (0.859) | −0.010 (−2.934**) | |
| 0.008 (2.938*) | −0.004 (−0.777) | 0.001 (0.427) | −0.006 (−1.071) | 0.005 (2.505*) | −0.005 (−1.288) | |
| −0.004 (−1.287) | −0.008 (−1.271) | −0.006 (−2.219) | −0.012 (−1.951) | −0.005 (−2.423*) | −0.010 (−2.235*) | |
| 0.000 (0.016) | −0.008 (−1.153) | −0.001 (−0.187) | −0.013 (−1.857) | 0.000 (−0.11) | −0.01 0 (−2.086*) | |
| −0.003 (−1.159) | −0.011 (−1.506) | −0.002 (−0.718) | −0.015 (−1.991) | −0.003 (−1.347) | −0.013 (−2.440*) | |
| −0.005 (−1.700) | −0.016 (−2.010) | −0.001 (−0.411) | −0.016 (−2.007) | −0.003 (−1.557) | −0.016 (−2.833**) | |
| 0.000 (0.031) | −0.016 (−1.885) | 0.001 (0.47) | −0.015 (−1.736) | 0.001 (0.330) | −0.015 (−2.561*) | |
| −0.003 (−1.230) | −0.019 (−2.177) | −0.001 (−0.516) | −0.016 (−1.810) | −0.003 (−1.269) | −0.018 (−2.831**) | |
| −0.003 (−1.250) | −0.022 (−2.452*) | 0.006 (2.115) | −0.010 (−1.088) | 0.001 (0.432) | −0.017 (−2.569*) | |
Note(s): The figures in parenthesis represent the t-values. * and ** indicate significant values at 5 and 1% level