Abnormal volumes (as a percentage of floating shares)
| Date | t | BPS | UBI | CV | BPER | BPM | BP | PEL |
|---|---|---|---|---|---|---|---|---|
| 17/12/2014 | −20 | 0.073 (0.22) | 0.226 (0.13) | −0.622 (0.47) | 0.260 (0.12) | 0.170 (0.17) | 0.301 (0.11) | −0.168 (0.29) |
| 18/12/2014 | −19 | 0.054 (0.23) | 0.049 (0.22) | −0.713 (0.48) | −0.049 (0.28) | −0.095 (0.30) | 0.096 (0.20) | 0.774 (0.09) |
| 19/12/2014 | −18 | 0.387 (0.11) | 0.275 (0.10) | −0.055 (0.28) | 0.335 (0.09) | 0.029 (0.24) | 0.565 (0.04) | 0.087 (0.23) |
| 22/12/2014 | −17 | −0.199 (0.33) | −0.831 (0.50) | −0.433 (0.43) | −0.340 (0.41) | −0.783 (0.49) | −0.557 (0.46) | 0.919 (0.07) |
| 23/12/2014 | −16 | −0.174 (0.32) | −0.636 (0.48) | −0.257 (0.37) | −0.336 (0.41) | −0.513 (0.45) | −0.461 (0.44) | 1.679 (0.01) |
| 29/12/2014 | −15 | −0.313 (0.37) | −0.439 (0.45) | −0.486 (0.44) | −0.232 (0.37) | −0.221 (0.35) | −0.250 (0.37) | 0.246 (0.19) |
| 30/12/2014 | −14 | −0.351 (0.38) | −0.669 (0.49) | −0.717 (0.48) | −0.655 (0.48) | −0.545 (0.45) | −0.652 (0.48) | −0.935 (0.44) |
| 02/01/2015 | −13 | −0.487 (0.42) | −0.390 (0.44) | −0.347 (0.40) | −0.270 (0.38) | 0.375 (0.09) | −0.218 (0.36) | 0.070 (0.23) |
| 05/01/2015 | −12 | 0.166 (0.18) | 0.294 (0.10) | −0.080 (0.29) | 0.086 (0.20) | 0.180 (0.16) | 0.383 (0.08) | 0.015 (0.25) |
| 06/01/2015 | −11 | −0.319 (0.37) | 0.398 (0.06) | −0.296 (0.38) | 0.371 (0.08) | 0.004 (0.25) | 0.306 (0.11) | −1.128 (0.46) |
| 07/01/2015 | −10 | −0.334 (0.37) | 0.224 (0.13) | −0.615 (0.47) | 0.180 (0.16) | 0.152 (0.18) | 0.326 (0.10) | −0.261 (0.31) |
| 08/01/2015 | −9 | −0.087 (0.28) | 0.170 (0.15) | −0.425 (0.42) | 0.242 (0.13) | 0.049 (0.23) | 0.176 (0.16) | 0.233 (0.19) |
| 09/01/2015 | −8 | −0.009 (0.25) | 0.459 (0.04) | 0.161 (0.17) | 0.395 (0.07) | 0.261 (0.13) | 0.596 (0.03) | −0.496 (0.36) |
| 12/01/2015 | −7 | 0.580 (0.06) | 0.153 (0.16) | −0.333 (0.40) | 0.323 (0.10) | −0.298 (0.38) | 0.377 (0.08) | 0.310 (0.18) |
| 13/01/2015 | −6 | −0.169 (0.32) | −0.080 (0.30) | −0.309 (0.39) | 0.292 (0.11) | −0.108 (0.30) | 0.129 (0.18) | −0.631 (0.39) |
| 14/01/2015 | −5 | −0.247 (0.34) | 0.045 (0.22) | −0.604 (0.46) | 0.465 (0.05) | 0.469 (0.06) | 0.079 (0.21) | −0.678 (0.40) |
| 15/01/2015 | −4 | 0.080 (0.22) | 0.194 (0.14) | −0.477 (0.44) | 0.357 (0.09) | 0.525 (0.05) | 0.325 (0.10) | −1.066 (0.45) |
| 16/01/2015 | −3 | 0.203 (0.17) | 0.110 (0.19) | −0.649 (0.47) | 0.396 (0.07) | 0.152 (0.18) | 0.354 (0.09) | −1.150 (0.46) |
| 19/01/2015 | −2 | 1.442 (0.00) | 0.961 (0.00) | 1.576 (0.00) | 1.409 (0.00) | 1.674 (0.00) | 1.231 (0.00) | 1.717 (0.01) |
| 20/01/2015 | −1 | 1.203 (0.00) | 0.744 (0.01) | 1.735 (0.00) | 1.092 (0.00) | 1.615 (0.00) | 1.252 (0.00) | 1.317 (0.03) |
| 21/01/2015 | 0 | 2.051 (0.00) | 0.875 (0.00) | 1.864 (0.00) | 1.383 (0.00) | 1.742 (0.00) | 1.329 (0.00) | 2.753 (0.00) |
| 22/01/2015 | 1 | 1.449 (0.00) | 0.870 (0.00) | 1.486 (0.00) | 1.269 (0.00) | 1.224 (0.00) | 0.953 (0.00) | 2.842 (0.00) |
| 23/01/2015 | 2 | 0.987 (0.01) | 0.372 (0.07) | 1.188 (0.00) | 1.124 (0.00) | 1.005 (0.00) | 0.709 (0.02) | 3.073 (0.00) |
| 26/01/2015 | 3 | 0.489 (0.08) | 0.051 (0.22) | 0.797 (0.01) | 0.689 (0.02) | 0.693 (0.02) | 0.128 (0.19) | 2.012 (0.00) |
| 27/01/2015 | 4 | 0.500 (0.08) | −0.155 (0.34) | 0.217 (0.15) | 0.635 (0.02) | 0.343 (0.10) | −0.330 (0.40) | 1.705 (0.01) |
| 28/01/2015 | 5 | 0.444 (0.09) | 0.102 (0.19) | −0.136 (0.31) | 0.632 (0.02) | 0.101 (0.20) | 0.065 (0.22) | 1.465 (0.02) |
| 29/01/2015 | 6 | 0.072 (0.22) | −0.115 (0.32) | −0.143 (0.32) | 0.583 (0.03) | 0.504 (0.05) | −0.105 (0.30) | 2.206 (0.00) |
| 30/01/2015 | 7 | 0.045 (0.23) | −0.333 (0.42) | −0.424 (0.42) | 0.480 (0.05) | 0.607 (0.03) | −0.309 (0.39) | 1.872 (0.01) |
| 02/02/2015 | 8 | 0.201 (0.17) | −0.053 (0.28) | −0.342 (0.40) | 0.251 (0.13) | 0.542 (0.05) | −0.128 (0.31) | 0.616 (0.11) |
| 03/02/2015 | 9 | 0.395 (0.11) | 0.370 (0.07) | 0.359 (0.10) | 0.515 (0.04) | 0.877 (0.01) | 0.331 (0.10) | 1.478 (0.02) |
| 04/02/2015 | 10 | 0.493 (0.08) | 0.304 (0.09) | 1.064 (0.00) | 0.951 (0.00) | 1.107 (0.00) | 0.646 (0.02) | 2.412 (0.00) |
| 05/02/2015 | 11 | 0.340 (0.12) | −0.216 (0.37) | 0.026 (0.24) | 0.368 (0.08) | 0.451 (0.07) | 0.202 (0.15) | 2.054 (0.00) |
| 06/02/2015 | 12 | 0.706 (0.04) | −0.408 (0.44) | 1.098 (0.00) | 0.446 (0.06) | 0.339 (0.10) | 0.403 (0.07) | 1.469 (0.02) |
| 09/02/2015 | 13 | 0.527 (0.07) | −0.037 (0.27) | 0.244 (0.14) | 0.715 (0.01) | 0.614 (0.03) | 0.161 (0.17) | 1.287 (0.03) |
| 10/02/2015 | 14 | 0.126 (0.20) | −0.037 (0.27) | 0.387 (0.09) | 0.508 (0.04) | 0.280 (0.12) | −0.016 (0.26) | 0.710 (0.10) |
| 11/02/2015 | 15 | 0.355 (0.12) | −0.400 (0.44) | 0.140 (0.18) | 0.651 (0.02) | 0.505 (0.05) | −0.077 (0.29) | 1.252 (0.03) |
| 12/02/2015 | 16 | 1.135 (0.01) | 0.299 (0.09) | 1.023 (0.00) | 0.787 (0.01) | 0.269 (0.13) | 1.928 (0.00) | |
| 13/02/2015 | 17 | 0.909 (0.02) | 0.500 (0.04) | 0.844 (0.01) | 0.592 (0.03) | 0.381 (0.09) | 1.467 (0.00) | |
| 16/02/2015 | 18 | 0.175 (0.18) | −0.585 (0.48) | 0.905 (0.01) | 0.353 (0.09) | −0.148 (0.32) | 0.870 (0.01) | |
| 17/02/2015 | 19 | 0.108 (0.21) | −0.022 (0.26) | 0.571 (0.04) | 0.391 (0.07) | −0.193 (0.34) | 1.112 (0.00) | |
| 18/02/2015 | 20 | 0.709 (0.04) | −0.032 (0.27) | 0.619 (0.03) | 0.822 (0.01) | 0.183 (0.16) | 1.143 (0.00) |
| Date | BPS | UBI | CV | BPER | BPM | BP | PEL | |
|---|---|---|---|---|---|---|---|---|
| 17/12/2014 | −20 | 0.073 (0.22) | 0.226 (0.13) | −0.622 (0.47) | 0.260 (0.12) | 0.170 (0.17) | 0.301 (0.11) | −0.168 (0.29) |
| 18/12/2014 | −19 | 0.054 (0.23) | 0.049 (0.22) | −0.713 (0.48) | −0.049 (0.28) | −0.095 (0.30) | 0.096 (0.20) | 0.774 (0.09) |
| 19/12/2014 | −18 | 0.387 (0.11) | 0.275 (0.10) | −0.055 (0.28) | 0.335 (0.09) | 0.029 (0.24) | 0.565 (0.04) | 0.087 (0.23) |
| 22/12/2014 | −17 | −0.199 (0.33) | −0.831 (0.50) | −0.433 (0.43) | −0.340 (0.41) | −0.783 (0.49) | −0.557 (0.46) | 0.919 (0.07) |
| 23/12/2014 | −16 | −0.174 (0.32) | −0.636 (0.48) | −0.257 (0.37) | −0.336 (0.41) | −0.513 (0.45) | −0.461 (0.44) | 1.679 (0.01) |
| 29/12/2014 | −15 | −0.313 (0.37) | −0.439 (0.45) | −0.486 (0.44) | −0.232 (0.37) | −0.221 (0.35) | −0.250 (0.37) | 0.246 (0.19) |
| 30/12/2014 | −14 | −0.351 (0.38) | −0.669 (0.49) | −0.717 (0.48) | −0.655 (0.48) | −0.545 (0.45) | −0.652 (0.48) | −0.935 (0.44) |
| 02/01/2015 | −13 | −0.487 (0.42) | −0.390 (0.44) | −0.347 (0.40) | −0.270 (0.38) | 0.375 (0.09) | −0.218 (0.36) | 0.070 (0.23) |
| 05/01/2015 | −12 | 0.166 (0.18) | 0.294 (0.10) | −0.080 (0.29) | 0.086 (0.20) | 0.180 (0.16) | 0.383 (0.08) | 0.015 (0.25) |
| 06/01/2015 | −11 | −0.319 (0.37) | 0.398 (0.06) | −0.296 (0.38) | 0.371 (0.08) | 0.004 (0.25) | 0.306 (0.11) | −1.128 (0.46) |
| 07/01/2015 | −10 | −0.334 (0.37) | 0.224 (0.13) | −0.615 (0.47) | 0.180 (0.16) | 0.152 (0.18) | 0.326 (0.10) | −0.261 (0.31) |
| 08/01/2015 | −9 | −0.087 (0.28) | 0.170 (0.15) | −0.425 (0.42) | 0.242 (0.13) | 0.049 (0.23) | 0.176 (0.16) | 0.233 (0.19) |
| 09/01/2015 | −8 | −0.009 (0.25) | 0.459 (0.04) | 0.161 (0.17) | 0.395 (0.07) | 0.261 (0.13) | 0.596 (0.03) | −0.496 (0.36) |
| 12/01/2015 | −7 | 0.580 (0.06) | 0.153 (0.16) | −0.333 (0.40) | 0.323 (0.10) | −0.298 (0.38) | 0.377 (0.08) | 0.310 (0.18) |
| 13/01/2015 | −6 | −0.169 (0.32) | −0.080 (0.30) | −0.309 (0.39) | 0.292 (0.11) | −0.108 (0.30) | 0.129 (0.18) | −0.631 (0.39) |
| 14/01/2015 | −5 | −0.247 (0.34) | 0.045 (0.22) | −0.604 (0.46) | 0.465 (0.05) | 0.469 (0.06) | 0.079 (0.21) | −0.678 (0.40) |
| 15/01/2015 | −4 | 0.080 (0.22) | 0.194 (0.14) | −0.477 (0.44) | 0.357 (0.09) | 0.525 (0.05) | 0.325 (0.10) | −1.066 (0.45) |
| 16/01/2015 | −3 | 0.203 (0.17) | 0.110 (0.19) | −0.649 (0.47) | 0.396 (0.07) | 0.152 (0.18) | 0.354 (0.09) | −1.150 (0.46) |
| 19/01/2015 | −2 | 1.442 (0.00) | 0.961 (0.00) | 1.576 (0.00) | 1.409 (0.00) | 1.674 (0.00) | 1.231 (0.00) | 1.717 (0.01) |
| 20/01/2015 | −1 | 1.203 (0.00) | 0.744 (0.01) | 1.735 (0.00) | 1.092 (0.00) | 1.615 (0.00) | 1.252 (0.00) | 1.317 (0.03) |
| 21/01/2015 | 0 | 2.051 (0.00) | 0.875 (0.00) | 1.864 (0.00) | 1.383 (0.00) | 1.742 (0.00) | 1.329 (0.00) | 2.753 (0.00) |
| 22/01/2015 | 1 | 1.449 (0.00) | 0.870 (0.00) | 1.486 (0.00) | 1.269 (0.00) | 1.224 (0.00) | 0.953 (0.00) | 2.842 (0.00) |
| 23/01/2015 | 2 | 0.987 (0.01) | 0.372 (0.07) | 1.188 (0.00) | 1.124 (0.00) | 1.005 (0.00) | 0.709 (0.02) | 3.073 (0.00) |
| 26/01/2015 | 3 | 0.489 (0.08) | 0.051 (0.22) | 0.797 (0.01) | 0.689 (0.02) | 0.693 (0.02) | 0.128 (0.19) | 2.012 (0.00) |
| 27/01/2015 | 4 | 0.500 (0.08) | −0.155 (0.34) | 0.217 (0.15) | 0.635 (0.02) | 0.343 (0.10) | −0.330 (0.40) | 1.705 (0.01) |
| 28/01/2015 | 5 | 0.444 (0.09) | 0.102 (0.19) | −0.136 (0.31) | 0.632 (0.02) | 0.101 (0.20) | 0.065 (0.22) | 1.465 (0.02) |
| 29/01/2015 | 6 | 0.072 (0.22) | −0.115 (0.32) | −0.143 (0.32) | 0.583 (0.03) | 0.504 (0.05) | −0.105 (0.30) | 2.206 (0.00) |
| 30/01/2015 | 7 | 0.045 (0.23) | −0.333 (0.42) | −0.424 (0.42) | 0.480 (0.05) | 0.607 (0.03) | −0.309 (0.39) | 1.872 (0.01) |
| 02/02/2015 | 8 | 0.201 (0.17) | −0.053 (0.28) | −0.342 (0.40) | 0.251 (0.13) | 0.542 (0.05) | −0.128 (0.31) | 0.616 (0.11) |
| 03/02/2015 | 9 | 0.395 (0.11) | 0.370 (0.07) | 0.359 (0.10) | 0.515 (0.04) | 0.877 (0.01) | 0.331 (0.10) | 1.478 (0.02) |
| 04/02/2015 | 10 | 0.493 (0.08) | 0.304 (0.09) | 1.064 (0.00) | 0.951 (0.00) | 1.107 (0.00) | 0.646 (0.02) | 2.412 (0.00) |
| 05/02/2015 | 11 | 0.340 (0.12) | −0.216 (0.37) | 0.026 (0.24) | 0.368 (0.08) | 0.451 (0.07) | 0.202 (0.15) | 2.054 (0.00) |
| 06/02/2015 | 12 | 0.706 (0.04) | −0.408 (0.44) | 1.098 (0.00) | 0.446 (0.06) | 0.339 (0.10) | 0.403 (0.07) | 1.469 (0.02) |
| 09/02/2015 | 13 | 0.527 (0.07) | −0.037 (0.27) | 0.244 (0.14) | 0.715 (0.01) | 0.614 (0.03) | 0.161 (0.17) | 1.287 (0.03) |
| 10/02/2015 | 14 | 0.126 (0.20) | −0.037 (0.27) | 0.387 (0.09) | 0.508 (0.04) | 0.280 (0.12) | −0.016 (0.26) | 0.710 (0.10) |
| 11/02/2015 | 15 | 0.355 (0.12) | −0.400 (0.44) | 0.140 (0.18) | 0.651 (0.02) | 0.505 (0.05) | −0.077 (0.29) | 1.252 (0.03) |
| 12/02/2015 | 16 | 1.135 (0.01) | 0.299 (0.09) | 1.023 (0.00) | 0.787 (0.01) | 0.269 (0.13) | 1.928 (0.00) | |
| 13/02/2015 | 17 | 0.909 (0.02) | 0.500 (0.04) | 0.844 (0.01) | 0.592 (0.03) | 0.381 (0.09) | 1.467 (0.00) | |
| 16/02/2015 | 18 | 0.175 (0.18) | −0.585 (0.48) | 0.905 (0.01) | 0.353 (0.09) | −0.148 (0.32) | 0.870 (0.01) | |
| 17/02/2015 | 19 | 0.108 (0.21) | −0.022 (0.26) | 0.571 (0.04) | 0.391 (0.07) | −0.193 (0.34) | 1.112 (0.00) | |
| 18/02/2015 | 20 | 0.709 (0.04) | −0.032 (0.27) | 0.619 (0.03) | 0.822 (0.01) | 0.183 (0.16) | 1.143 (0.00) |
Note(s): Abnormal volumes, as a percentage of floating shares, in the [−20, +20] event window for each of the seven banks in the treatment group. In parenthesis, we report the corresponding p-value