00Thaler_FM i-xxvi.qxd

(0.064)

(0.053)

(0.045)

6, 7/89–12/95

5 days

0.167

2.68

330

−

0.460

c

0.380

c

0.136

c

(0.069)

(0.055)

(0.051)

7, 7/89–12/95

15 days

0.112

2.57

106

−

0.275

c

0.216

c

0.092

a

(0.085)

(0.058)

(0.067)

8, 7/89–12/95

50 days

0.217

1.98

28

−

0.299

b

0.120

a

−

0.057

(0.133)

(0.085)

(0.085)

2, 7/89–7/90

1 day

0.450

2.35

253

−

0.713

c

0.629

c

0.309

c

2, 7/90–7/91

1 day

0.302

2.57

256

−

0.400

b

0.242

c

0.331

b

2, 7/91–7/92

1 day

0.282

2.50

256

−

0.167

c

0.213

c

0.232

c

2, 7/92–7/93

1 day

0.214

2.88

256

−

0.278

c

0.544

c

0.237

2, 7/93–7/94

1 day

0.122

2.85

256

−

0.235

c

0.382

c

−

0.137

a

2, 7/94–7/95

1 day

0.113

2.57

256

−

0.060

c

0.154

c

0.104

c

2, 7/95–12/95

1 day

0.143

2.41

107

−

0.457

c

0.285

a

0.035

c

aSignificant at the 10% level for

F-tests that the sum of all coefficients (leads and lags) equals zero.

bSignificant at the 5% level.cSignificant at the 1% level.