Table 8 Panel regression analysis:...

Table 8

Panel regression analysis: stocks that foreign traders do not trade

	TOM [–1, +3]		TOM [–1, +1]
	(1)	(2)	(3)	(4)
TOM	0.283^*** (29.74)	−0.101 (−0.35)	0.416^*** (32.40)	−0.528 (−1.50)
TOM × NetBuyV_indi		0.000 (0.01)		0.011 (0.57)
TOM × NetBuyV_inst		0.010^** (2.41)		0.022^*** (3.99)
TOM × TOY	1.098^*** (26.77)	1.100^*** (26.73)	1.026^*** (22.02)	1.027^*** (21.99)
TOM × LnSize		0.016 (1.33)		0.040^*** (2.68)
NetBuyV_indi	−0.111^*** (−8.78)	−0.111^*** (−9.07)	−0.111^*** (−8.77)	−0.112^*** (−9.09)
NetBuyV_inst	0.007^*** (2.69)	0.005^* (1.74)	0.006^*** (2.58)	0.004^* (1.67)
LnSize	0.123^*** (14.20)	0.120^*** (12.81)	0.123^*** (14.21)	0.120^*** (13.32)
MB	0.003^** (2.55)	0.003^** (2.55)	0.003^** (2.55)	0.003^** (2.55)
Turnover	6.989^*** (21.87)	6.989^*** (21.87)	6.985^*** (21.82)	6.984^*** (21.82)
TOY	−0.277^*** (−18.90)	−0.277^*** (−18.90)	−0.165^*** (−12.21)	−0.165^*** (−12.22)
Constant	−3.145^*** (−15.38)	−3.070^*** (−13.89)	−3.131^*** (−15.32)	−3.039^*** (−14.38)
Observations	1,422,216	1,422,216	1,422,216	1,422,216
Clusters (firms)	1,684	1,684	1,684	1,684
R²	0.008	0.008	0.007	0.007

	TOM [–1, +3]		TOM [–1, +1]
	(1)	(2)	(3)	(4)
TOM	0.283^*** (29.74)	−0.101 (−0.35)	0.416^*** (32.40)	−0.528 (−1.50)
TOM × NetBuyV_indi		0.000 (0.01)		0.011 (0.57)
TOM × NetBuyV_inst		0.010^** (2.41)		0.022^*** (3.99)
TOM × TOY	1.098^*** (26.77)	1.100^*** (26.73)	1.026^*** (22.02)	1.027^*** (21.99)
TOM × LnSize		0.016 (1.33)		0.040^*** (2.68)
NetBuyV_indi	−0.111^*** (−8.78)	−0.111^*** (−9.07)	−0.111^*** (−8.77)	−0.112^*** (−9.09)
NetBuyV_inst	0.007^*** (2.69)	0.005^* (1.74)	0.006^*** (2.58)	0.004^* (1.67)
LnSize	0.123^*** (14.20)	0.120^*** (12.81)	0.123^*** (14.21)	0.120^*** (13.32)
MB	0.003^** (2.55)	0.003^** (2.55)	0.003^** (2.55)	0.003^** (2.55)
Turnover	6.989^*** (21.87)	6.989^*** (21.87)	6.985^*** (21.82)	6.984^*** (21.82)
TOY	−0.277^*** (−18.90)	−0.277^*** (−18.90)	−0.165^*** (−12.21)	−0.165^*** (−12.22)
Constant	−3.145^*** (−15.38)	−3.070^*** (−13.89)	−3.131^*** (−15.32)	−3.039^*** (−14.38)
Observations	1,422,216	1,422,216	1,422,216	1,422,216
Clusters (firms)	1,684	1,684	1,684	1,684
R²	0.008	0.008	0.007	0.007

Note(s): This table reports the results of panel regressions of excess stock returns using stocks with zero foreign trading volume. In regressions (1) and (2), TOM takes one at the TOM that encompasses day −1 through day +3, and 0 otherwise. In regressions (3) and (4), TOM takes one at the TOM that encompasses day −1 through day +1, and 0 otherwise. Standard errors are clustered by firm. t-statistics are presented in parentheses. ^*, ^** and ^*** indicate significance at the 10%, 5% and 1% levels, respectively. The sample period is from 2000 to 2020

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