Table 3 Cumulative average abnormal...

Table 3

Cumulative average abnormal returns for the sampled countries

	Event windows	(−10, 10)	(−10, −1)	(0, 10)	(−5, 5)	(−5, −1)	(0, 5)
All countries N = 362	CAAR	−4.00%	0.57%	−4.58%	−3.80%	0.11%	−3.91%
	Cross-sec	−4.271***	0.902	−6.408***	−5.427***	0.272	−6.597***
	Prob.	0.000	0.367	0.000	0.000	0.786	0.000
	Sign test	−2.992***	1.123	−5.524***	−5.313***	0.806	−5.313***
	Prob.	0.003	0.261	0.000	0.000	0.420	0.000
Egypt N = 58	CAAR	−5.63%	−1.02%	−4.61%	−4.07%	−0.41%	−3.66%
	Cross-sec	−2.360**	−0.725	−2.341**	−2.210**	−0.468	−2.327**
	Prob.	0.018	0.468	0.019	0.027	0.639	0.020
	Sign test	−1.341	−0.552	−2.393**	−1.078	−0.288	−2.131**
	Prob.	0.180	0.581	0.017	0.281	0.773	0.033
Malaysia N = 43	CAAR	−0.94%	0.56%	−1.50%	−1.33%	0.31%	−1.65%
	Cross-sec	−0.638	0.533	−1.369	−1.173	0.502	−1.842*
	Prob.	0.523	0.594	0.171	0.241	0.616	0.065
	Sign test	0.775	0.4691	−1.063	−1.676*	0.469	−0.756
	Prob.	0.438	0.639	0.288	0.094	0.639	0.449
Pakistan N = 43	CAAR	−2.93%	−0.73%	−2.20%	−3.50%	−1.05%	−2.45%
	Cross-sec	−0.974	−0.442	−1.042	−1.696*	−0.913	−1.571
	Prob.	0.330	0.659	0.297	0.090	0.361	0.116
	Sign test	−2.072**	−0.542	−1.766*	−2.990***	−0.542	−2.072**
	Prob.	0.038	0.588	0.077	0.003	0.588	0.038
Saudi Arabia N = 53	CAAR	0.00%	1.76%	−1.76%	−0.10%	0.43%	−0.53%
	Cross-sec	−0.002	0.972	−1.491	−0.073	0.426	−0.476
	Prob.	0.998	0.331	0.136	0.942	0.670	0.634
	Sign test	−0.069	0.755	−0.895	−0.345	0.755	−0.345
	Prob.	0.945	0.450	0.371	0.730	0.450	0.730
Turkey N = 165	CAAR	−5.81%	1.10%	−6.90%	−5.63%	0.44%	−6.06%
	Cross-sec	−3.865***	1.040	−5.832***	−4.880***	0.643	−6.084***
	Prob.	0.000	0.298	0.000	0.000	0.520	0.000
	Sign test	−2.939***	1.602	−4.818***	−4.661***	0.976	−4.974***
	Prob.	0.003	0.109	0.000	0.000	0.329	0.000

	Event windows	(−10, 10)	(−10, −1)	(0, 10)	(−5, 5)	(−5, −1)	(0, 5)
All countriesN = 362	CAAR	−4.00%	0.57%	−4.58%	−3.80%	0.11%	−3.91%
	Cross-sec	−4.271***	0.902	−6.408***	−5.427***	0.272	−6.597***
	Prob.	0.000	0.367	0.000	0.000	0.786	0.000
	Sign test	−2.992***	1.123	−5.524***	−5.313***	0.806	−5.313***
	Prob.	0.003	0.261	0.000	0.000	0.420	0.000
EgyptN = 58	CAAR	−5.63%	−1.02%	−4.61%	−4.07%	−0.41%	−3.66%
	Cross-sec	−2.360**	−0.725	−2.341**	−2.210**	−0.468	−2.327**
	Prob.	0.018	0.468	0.019	0.027	0.639	0.020
	Sign test	−1.341	−0.552	−2.393**	−1.078	−0.288	−2.131**
	Prob.	0.180	0.581	0.017	0.281	0.773	0.033
MalaysiaN = 43	CAAR	−0.94%	0.56%	−1.50%	−1.33%	0.31%	−1.65%
	Cross-sec	−0.638	0.533	−1.369	−1.173	0.502	−1.842*
	Prob.	0.523	0.594	0.171	0.241	0.616	0.065
	Sign test	0.775	0.4691	−1.063	−1.676*	0.469	−0.756
	Prob.	0.438	0.639	0.288	0.094	0.639	0.449
PakistanN = 43	CAAR	−2.93%	−0.73%	−2.20%	−3.50%	−1.05%	−2.45%
	Cross-sec	−0.974	−0.442	−1.042	−1.696*	−0.913	−1.571
	Prob.	0.330	0.659	0.297	0.090	0.361	0.116
	Sign test	−2.072**	−0.542	−1.766*	−2.990***	−0.542	−2.072**
	Prob.	0.038	0.588	0.077	0.003	0.588	0.038
Saudi ArabiaN = 53	CAAR	0.00%	1.76%	−1.76%	−0.10%	0.43%	−0.53%
	Cross-sec	−0.002	0.972	−1.491	−0.073	0.426	−0.476
	Prob.	0.998	0.331	0.136	0.942	0.670	0.634
	Sign test	−0.069	0.755	−0.895	−0.345	0.755	−0.345
	Prob.	0.945	0.450	0.371	0.730	0.450	0.730
TurkeyN = 165	CAAR	−5.81%	1.10%	−6.90%	−5.63%	0.44%	−6.06%
	Cross-sec	−3.865***	1.040	−5.832***	−4.880***	0.643	−6.084***
	Prob.	0.000	0.298	0.000	0.000	0.520	0.000
	Sign test	−2.939***	1.602	−4.818***	−4.661***	0.976	−4.974***
	Prob.	0.003	0.109	0.000	0.000	0.329	0.000

Note(s): CAAR refers to cumulative average abnormal return, which is the multi-day effect indicator. Event windows are shown in paranthesis. Cross-sec represents cross-sectional t-test statistics results. *p < 0.1, **p < 0.05, ***p < 0.01

[ViewLarge]

Sharing Unavailable