TABLE 2
FROM:
Insider trading and the valuation of international strategic alliances in emerging stock markets
Stewart R Miller, Dan Li, Lorraine Eden and Michael A Hitt
BACK TO ARTICLETable 2. Cumulative abnormal returns: low vs high state ownership (a) 1991–2004; (b) 1991–1998; and (c) 1999–2004
| Shanghai Composite Index | Shenzhen Composite Index | |||||
|---|---|---|---|---|---|---|
| Pre-announcement | Announcement | Pre-announcement | Announcement | |||
| -25 to -2 | -10 to -2 | -1 to +1 | -25 to -2 | -10 to -2 | -1 to +1 | |
| (a) 1991–2004 | ||||||
| All firms | 0.87* | 0.92** | 0.05 | 1.55*** | 0.83** | 0.19 |
| (SHSE=309; SZSE=305) | (2.40) | (3.10) | (0.54) | (3.27) | (2.71) | (1.31) |
| Low state ownership | -0.81 | -0.28 | -0.35 | -0.73 | -0.47 | 0.05 |
| (SHSE=103; SZSE=103) | (-0.424) | (-0.010) | (-1.023) | (-0.317) | (-0.075) | (0.062) |
| Moderate state ownership | 1.89* | 1.84*** | 0.34† | 2.66** | 1.63** | 0.61* |
| (SHSE=105; SZSE=101) | (2.340) | (3.402) | (1.677) | (2.788) | (2.620) | (2.181) |
| High state ownership | 1.52* | 1.18† | 0.15 | 2.73** | 1.32* | -0.09 |
| (SHSE=101; SZSE=101) | (2.252) | (1.937) | (0.260) | (3.224) | (2.318) | (-0.010) |
| Moderate vs low t-statistic | * | * | n.s. | * | * | n.s. |
| High vs low t-statistic | † | † | n.s. | † | * | n.s. |
| (b) 1991–1998 | ||||||
| All firms | 2.13*** | 1.74*** | -0.31 | 3.49*** | 1.15** | 0.09 |
| (SHSE=120; SZSE=117) | (3.89) | (4.91) | (-0.26) | (3.94) | (2.60) | (0.49) |
| Low state ownership | 1.06 | 0.70* | -1.99** | 1.06 | -1.52 | -0.73 |
| (SHSE=31; SZSE=31) | (0.934) | (0.092) | (-2.694) | (0.932) | (-0.198) | (-0.809) |
| Moderate state ownership | 2.37* | 3.14*** | 0.26 | 3.90** | 2.62** | 0.95 |
| (SHSE=47; SZSE=44) | (2.270) | (4.177) | (0.744) | (2.791) | (2.972) | (1.585) |
| High state ownership | 1.84† | 1.17 | 0.21 | 4.38*** | 1.49 | -0.43 |
| (SHSE=42; SZSE=42) | (1.656) | (1.080) | (0.296) | (2.710) | (1.404) | (-0.198) |
| Moderate vs low t-statistic | n.s. | * | * | n.s. | * | † |
| High vs low t-statistic | n.s. | n.s. | * | n.s. | † | n.s. |
| (c) 1999–2004 | ||||||
| All firms | 0.24 | 0.58 | 0.29 | 0.42 | 0.63 | 0.30 |
| (SHSE=189; SZSE=188) | (0.76) | (1.32) | (1.29) | (1.11) | (1.39) | (1.31) |
| Low state ownership | -1.62 | -0.10 | 0.36 | -1.51 | -0.01 | 0.38 |
| (SHSE=72; SZSE=72) | (-1.111) | (-0.073) | (0.572) | (-0.982) | (0.404) | (0.616) |
| Moderate state ownership | 1.52 | 0.83 | 0.40 | 1.69 | 0.86 | 0.36 |
| (SHSE=58; SZSE=57) | (1.118) | (0.853) | (1.586) | (1.256) | (0.873) | (1.508) |
| High state ownership | 1.26 | 1.18 | 0.10 | 1.51+ | 1.20 | 0.15 |
| (SHSE=59; SZSE=59) | (1.520) | (1.617) | (0.080) | (1.883) | (1.600) | (0.152) |
| Moderate vs low t-statistic | * | n.s. | n.s. | * | n.s. | n.s. |
| High vs low t-statistic | * | † | n.s. | * | n.s. | n.s. |
Z statistics in parentheses. Significance based on two-tailed test statistics (†<10%, *<5%, **<1%, ***<0.1% levels). Not significant=n.s.
