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Table 4 Multivariate Regression Results

From: The impact of reporting frequency on the information quality of share price: evidence from Chinese state-owned enterprises

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

  1. This table presents the results of multivariate regression tests. The dependent variable is the information asymmetry measured by bid-ask spread in Panel A, Amihud illiquidity in Panel B and stock return volatility in Panel C. AH stock is a dummy variable that takes the value of one if the stock is the H tranche of a AH dual-listed company. Year and firm fixed-effects are included and standard errors are adjusted for heteroscedasticity. p-values are in parentheses (* p < 0.10, ** p < 0.05, *** p < 0.01)