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

Table 20

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

Asia pacific	Worse-than-expected news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	+458 bps	2.64	4.71	3.09	2.83	2.11	0.04
[−1; 1]	+24 bps	0.50	1.56	1.07	0.51	1.60	0.10
[0; 0]	+11 bps	0.41	0.58	0.52	2.12	0.98	0.36

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