Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation

Table 15

Impact of better-than-expected news on EMEA countries.

EMEA	Better-than-expected news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	−141 bps	−0.20	0.19	0.36	4.57	2.24	0.03
[−1; 1]	−361 bps	−1.86	−1.47	−1.89	−1.38	1.54	0.15
[0; 0]	−75 bps	−0.67	−0.92	−1.00	−2.59	1.80	0.11

The symbols , , and correspond, respectively, to a significance level of 1%, 5%, and 10%.