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

Table 19

Impact of better-than-expected news on Asian Pacific countries.

Asia pacific	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]	−71 bps	−0.49	1.33	0.92	−0.50	1.10	0.27
[−1; 1]	−28 bps	−0.71	−0.32	−0.28	−0.92	−0.64	0.53
[0; 0]	+20 bps	0.88	1.13	1.11	1.21	0.98	0.36