Note(s): This table shows the TSLS regression result between CAR, CAV and other variables like natural logarithm of market capitalization (MCAP), price-to-book ratio (PBR), natural logarithm of volume of shares traded (VOL), dummy for buy/sell (BS), dummy for promoter's trade (DP) and dummy for director and executive's trade (DDE). Panel A shows the TSLS where CAR is the dependent variable. Panel B shows the TSLS for CAV. Both the panels show the coefficients attached to each variable and the statistical probability that such relationship does not exist. The table also shows the adjusted R² and the F-statistic. The instrumental variables for panel A are natural logarithm of volume of shares traded (VOL), dummy for promoter's trade (DP) and dummy for director and executive's trade (DDE). The instrumental variables for panel B are natural logarithm of the market capitalization and price-to-book ratio