Panel A | |||
(1) | (2) | (3) | |
Bid-Ask Spread 1993–2015 | Bid-Ask Spread 2002–2015 | Bid-Ask Spread 1993–2001 | |
AH Stock | −0.00074(0.4738) | 0.00518***(0.0000) | 0.00124(0.3717) |
AH Stock×Year 2002–2007 | 0.00746***(0.0000) | ||
AH Stock×Year 2008–2015 | 0.00619***(0.0000) | ||
Log(Total Assets) | −0.00527***(0.0000) | −0.00466***(0.0000) | −0.00698***(0.0000) |
Turnover | −0.00813***(0.0000) | −0.00964***(0.0000) | − 0.00454***(0.0000) |
Return on Asset | −0.00134(0.3352) | − 0.00025(0.8991) | −0.00193(0.2140) |
MTB | −0.00425***(0.0000) | −0.00516***(0.0000) | − 0.00131*(0.0881) |
Leverage | −0.00596***(0.0036) | − 0.01111***(0.0000) | 0.01081***(0.0059) |
Stock Volatility | 0.39789***(0.0000) | 0.50731***(0.0000) | 0.10904(0.1484) |
Market volatility (HK) | − 0.87089(0.2946) | −1.12289(0.5040) | 0.10975(0.5374) |
Market turnover (HK) | 0.00000(0.3936) | 0.00000(0.5485) | −0.00000**(0.0144) |
Market Return (HK) | −0.00454(0.6270) | −0.00887(0.7488) | 0.01305***(0.0000) |
Market Volatility (SH) | 0.04619(0.9145) | 0.42988(0.7744) | −0.24213(0.1326) |
Market Turnover (SH) | −0.00000(0.1223) | − 0.00000(0.4761) | 0.00000***(0.0001) |
Market Return (SH) | 0.00717(0.1631) | 0.00990(0.5702) | −0.01499***(0.0013) |
Constant | 0.08839***(0.0000) | 0.08202***(0.0000) | 0.10894***(0.0000) |
Observations | 881 | 666 | 215 |
Adjusted R2 | 0.721 | 0.743 | 0.631 |
Panel B | |||
(1) | (2) | (3) | |
Illiquidity 1993–2015 | Illiquidity 2002–2015 | Illiquidity 1993–2001 | |
AH Stock | 0.00443(0.9732) | 0.22698***(0.0005) | 0.32118(0.1470) |
AH Stock×Year 2002–2007 | 0.24316*(0.0588) | ||
AH Stock×Year 2008–2015 | 0.41473***(0.0011) | ||
Log(Total Assets) | −0.32957***(0.0000) | −0.28926***(0.0000) | −0.65692***(0.0000) |
Turnover | −0.45710***(0.0000) | −0.42449***(0.0000) | − 0.46544***(0.0000) |
Return on Asset | −0.44642**(0.0178) | − 0.30456(0.2236) | −0.41808*(0.0593) |
MTB | −0.16932***(0.0000) | −0.20471***(0.0000) | − 0.15606*(0.0858) |
Leverage | −0.07362(0.6232) | − 0.19375(0.1631) | 0.29910(0.5063) |
Market Volatility (HK) | −51.04054(0.5913) | −77.22211(0.6644) | 18.41851(0.4403) |
Market Turnover (HK) | 0.00000(0.5333) | 0.00000(0.5953) | −0.00000(0.7656) |
Market Return (HK) | −0.54017(0.5843) | −1.17750(0.6796) | 1.00884**(0.0142) |
Market Volatility (SH) | −2.16878(0.9631) | 39.40506(0.7999) | −36.46854*(0.0708) |
Market Turnover (SH) | −0.00000(0.2774) | − 0.00000(0.5376) | 0.00000(0.5382) |
Market Return (SH) | 0.59772(0.2191) | 1.05452(0.5535) | −0.38797(0.5602) |
Constant | 5.44451***(0.0000) | 5.03602***(0.0000) | 10.01265***(0.0000) |
Observations | 832 | 631 | 201 |
Adjusted R2 | 0.475 | 0.495 | 0.499 |
Panel C | |||
(1) | (2) | (3) | |
Stock Volatility 1993–2015 | Stock Volatility 2002–2015 | Stock Volatility 1993–2001 | |
AH Stock | 0.00255**(0.0425) | 0.00482***(0.0000) | −0.00113(0.5092) |
AH Stock×Year 2002–2007 | 0.00137(0.3171) | ||
AH Stock×Year 2008–2015 | 0.00108(0.4135) | ||
Log(Total Assets) | −0.00219***(0.0000) | −0.00239***(0.0000) | − 0.00170**(0.0354) |
Turnover | 0.00540***(0.0000) | 0.00721***(0.0000) | 0.00425***(0.0003) |
Return on Asset | −0.00325*(0.0733) | −0.00081(0.7381) | − 0.00300(0.2149) |
MTB | 0.00139***(0.0006) | 0.00111***(0.0096) | 0.00211***(0.0087) |
Leverage | 0.00643**(0.0432) | 0.00619*(0.0911) | 0.01635***(0.0026) |
Market Volatility (HK) | 0.34718(0.7064) | −0.04231(0.9805) | 1.40833***(0.0000) |
Market Turnover (HK) | 0.00000(0.6459) | 0.00000(0.6292) | 0.00000(0.1250) |
Market Return (HK) | −0.00684(0.5038) | −0.01490(0.5942) | 0.00144(0.7502) |
Market Volatility (SH) | 0.12482(0.7827) | 0.54813(0.7170) | −0.27059(0.2459) |
Market Turnover (SH) | −0.00000(0.9226) | −0.00000(0.7445) | − 0.00000**(0.0241) |
Market Return (SH) | 0.00630(0.2815) | 0.01246(0.4877) | 0.01280*(0.0911) |
Constant | 0.03704***(0.0003) | 0.04058***(0.0000) | 0.03090(0.1013) |
Observations | 888 | 673 | 215 |
Adjusted R2 | 0.654 | 0.547 | 0.629 |