Stock Market Reaction to the Announcement of the COVID-19 Lockdown: Evidence from Healthcare Companies in Malaysia

Table 5

Cumulative abnormal average return (CAAR) in 3 sample scales.

Event no.	Sample scale
	Small		Medium		Large
	CAAR	value	CAAR	value	CAAR	value
1	−0.2099	−3.299	−0.1847	−3.034	0.0097	0.995
2	0.1352	1.780	0.1207	3.225	0.0256	0.647
3	0.0682	2.712	0.0789	3.307	0.0199	0.496
4	0.0578	1.556	0.0584	0.150	0.0122	0.089

Significant at the 10% level. Significant at the 5% level. Significant at the 1% level.