Table 5 Placebo Test Results
Panel A | ||
(1) | (2) | |
Bid-Ask Spread 1993–2001 | Bid-Ask Spread 2002–2007 | |
AH Stock | 0.00102(0.5615) | 0.00477***(0.0001) |
AH Stock*Year 2005–2007 | 0.00491**(0.0189) | |
AH Stock*Year 1998–2001 | 0.00027(0.8907) | |
Log(Total Assets) | − 0.00698***(0.0000) | −0.00467***(0.0000) |
Turnover | −0.00453***(0.0000) | − 0.00838***(0.0000) |
Return on Asset | −0.00193(0.2142) | − 0.00411*(0.0635) |
MTB | −0.00130*(0.0913) | − 0.00358***(0.0000) |
Leverage | 0.01077***(0.0061) | −0.01293***(0.0001) |
Stock Volatility | 0.10930(0.1513) | 0.76622***(0.0000) |
Market Volatility (HK) | 0.10899(0.5449) | −0.12596(0.8097) |
Market Turnover (HK) | −0.00000**(0.0147) | 0.00000(0.1368) |
Market Return (HK) | 0.01300***(0.0000) | 0.03973(0.2333) |
Market Volatility (SH) | −0.24207(0.1342) | 4.82138(0.1980) |
Market Turnover (SH) | 0.00000***(0.0001) | −0.00000(0.1461) |
Market Return (SH) | −0.01492***(0.0014) | 0.00000(.) |
Constant | 0.10898***(0.0000) | 0.00317(0.9549) |
Observations | 215 | 306 |
Adjusted R2 | 0.629 | 0.784 |
Panel B | ||
(1) | (2) | |
Illiquidity 1993–2001 | Illiquidity 2002–2007 | |
AH Stock | 0.34823(0.2435) | 0.17253(0.2223) |
AH Stock*Year 2005–2007 | 0.11517(0.3398) | |
AH Stock*Year 1998–2001 | −0.03393(0.9195) | |
Log(Total Assets) | −0.65680***(0.0000) | − 0.31135***(0.0000) |
Turnover | −0.46659***(0.0001) | − 0.48176***(0.0000) |
Return on Asset | −0.41714*(0.0605) | − 0.38402(0.2905) |
MTB | −0.15698*(0.0901) | − 0.12701***(0.0027) |
Leverage | 0.30298(0.5089) | −0.20425(0.3869) |
Market Volatility (HK) | 18.48030(0.4419) | 43.97013(0.3459) |
Market Turnover (HK) | −0.00000(0.7652) | 0.00000(0.1537) |
Market Return (HK) | 1.01547**(0.0186) | 3.11894(0.2216) |
Market Volatility (SH) | −36.50617*(0.0694) | 374.28515(0.1888) |
Market Turnover (SH) | 0.00000(0.5345) | −0.00000(0.1649) |
Market Return (SH) | −0.39651(0.5542) | 0.00000(.) |
Constant | 10.00759***(0.0000) | − 0.52510(0.8964) |
Observations | 201 | 289 |
Adjusted R2 | 0.496 | 0.526 |
Panel C | ||
(1) | (2) | |
Stock Volatility 1993–2001 | Stock Volatility 2002–2007 | |
AH Stock | 0.00081(0.6853) | 0.00654***(0.0001) |
AH Stock*Year 2005–2007 | −0.00023(0.8968) | |
AH Stock*Year 1998–2001 | −0.00239(0.2892) | |
Log(Total Assets) | −0.00169**(0.0361) | −0.00239***(0.0003) |
Turnover | 0.00418***(0.0005) | 0.00327***(0.0004) |
Return on Asset | − 0.00294(0.2316) | 0.00009(0.9774) |
MTB | 0.00205**(0.0123) | 0.00017(0.7889) |
Leverage | 0.01667***(0.0024) | −0.00331(0.5718) |
Market Volatility (HK) | 1.41178***(0.0000) | −0.81096(0.1096) |
Market Turnover (HK) | 0.00000(0.1261) | −0.00000***(0.0002) |
Market Return (HK) | 0.00191(0.6868) | −0.09855***(0.0021) |
Market Volatility (SH) | −0.27052(0.2457) | −11.61003***(0.0011) |
Market Turnover (SH) | −0.00000**(0.0334) | 0.00000***(0.0002) |
Market Return (SH) | 0.01218(0.1133) | 0.00000(.) |
Constant | 0.03049(0.1083) | 0.22668***(0.0000) |
Observations | 215 | 309 |
Adjusted R2 | 0.628 | 0.498 |