Table 3 Descriptive statistics and...

Table 3

Descriptive statistics and correlations for sample firm-quarters

Variable	N	Mean	Std. Dev	Minimum	Maximum
Panel A descriptive statistics
pricedif	1456	1.848	0.963	0.797	5.135
aturnover	1456	0.016	0.018	0.000	0.088
mtop	1456	0.546	0.301	0.028	0.970
mownership	1456	0.837	0.191	0.035	0.998
totalshares	1456	3.004E+10	7.182E+10	2.777E+08	3.506E+11
shortdummy	1456	0.319	0.466	0.000	1.000
supply	1456	1.826	1.522	0.068	7.655
mom	1456	0.017	0.244	−0.448	0.938
govownership	1456	0.233	0.263	0.000	0.827
marketvalue	1456	17.463	1.648	13.907	21.257
fanindex	1456	9.616	1.163	5.120	11.800
Absepschange	1456	0.09496	0.18998	0	3.4182
Note(s): Financial variables are measured based on quarterly data; AH price difference is measured as follows: $P r i c e d i f_{i, t} = \frac{P r i c e_{A} * e x c h a n g e r a t e}{P r i c e_{H}}$ ⁠, where Price_A stands for A share price and Price_H stands for H share price. The exchange rate in the numerator converts the A share price from RMB to Hong Kong dollars – aturnover = average daily trading A share volume divided by tradable A shares; mtop = 1-top 10 shareholder ownership; mownership = 1-institutional ownership; totalshares: total tradable A shares; shortdummy: 1 if a company in the quarter is on the list of security margin trading and 0; otherwise; supply = tradable A shares divided by tradable H shares; mom: the quarterly return of A shares; govownership: government-owned tradable A shares divided by total tradable A shares; marketvalue: capitalization of A shares; Fanindex: institutional environment index from Fan et al. (2011); Absepschange: quarterly absolute change of analyst forecast consensus

Variable	N	Mean	Std. Dev	Minimum	Maximum
Panel A descriptive statistics
pricedif	1456	1.848	0.963	0.797	5.135
aturnover	1456	0.016	0.018	0.000	0.088
mtop	1456	0.546	0.301	0.028	0.970
mownership	1456	0.837	0.191	0.035	0.998
totalshares	1456	3.004E+10	7.182E+10	2.777E+08	3.506E+11
shortdummy	1456	0.319	0.466	0.000	1.000
supply	1456	1.826	1.522	0.068	7.655
mom	1456	0.017	0.244	−0.448	0.938
govownership	1456	0.233	0.263	0.000	0.827
marketvalue	1456	17.463	1.648	13.907	21.257
fanindex	1456	9.616	1.163	5.120	11.800
Absepschange	1456	0.09496	0.18998	0	3.4182
Note(s): Financial variables are measured based on quarterly data; AH price difference is measured as follows: $P r i c e d i f_{i, t} = \frac{P r i c e_{A} * e x c h a n g e r a t e}{P r i c e_{H}}$ , where Price_A stands for A share price and Price_H stands for H share price. The exchange rate in the numerator converts the A share price from RMB to Hong Kong dollars – aturnover = average daily trading A share volume divided by tradable A shares; mtop = 1-top 10 shareholder ownership; mownership = 1-institutional ownership; totalshares: total tradable A shares; shortdummy: 1 if a company in the quarter is on the list of security margin trading and 0; otherwise; supply = tradable A shares divided by tradable H shares; mom: the quarterly return of A shares; govownership: government-owned tradable A shares divided by total tradable A shares; marketvalue: capitalization of A shares; Fanindex: institutional environment index from Fan et al. (2011); Absepschange: quarterly absolute change of analyst forecast consensus

Spearman/Pearson correlation matrix, N = 1456
Prob> \|r\| under H0: Rho = 0
	pricedif	Aturnover	mtop	totalshares	shortdummy	supply	govownership	marketvalue	fanindex	absepschange	mom
Panel B correlations
pricedif		0.391^***	0.234^***	−0.533^***	−0.521^***	−0.235^***	0.0470^*	−0.582^***	−0.069^***	−0.073^***	−0.036
aturnover	0.314^***		0.789^***	−0.424^***	−0.485^***	−0.613^***	0.511^***	−0.263^***	0.067^**	0.025	0.217^***
mtop	0.219^***	0.624^***		−0.179^***	−0.342^***	−0.686^***	0.577^***	−0.094^***	0.109^***	−0.002	0.036
totalsharess	−0.264^***	−0.166^***	−0.106^***		0.459^***	0.062^**	0.180^***	0.858^***	−0.112^***	0.025	−0.059^**
shortdummy	−0.445^***	−0.380^***	−0.340^***	0.259^***		0.361^***	−0.260^***	0.445^***	0.055^**	0.059^***	−0.048^*
supply	−0.235^***	−0.451^***	−0.590^***	0.005	0.391^***		−0.640^***	−0.017	0.091^***	−0.001	−0.044^*
govownership	−0.0230	0.450^***	0.659^***	0.118^***	−0.304^***	−0.630^***		0.232^***	−0.076^***	0.044^*	−0.005
marketvalue	−0.578***	−0.230***	−0.099***	0.560***	0.421***	0.094***	0.223***		−0.017	0.141***	−0.040
fanindex	−0.00400	0.0310	0.097***	−0.112***	0.015	0.032	−0.072***	−0.110***		0.047^*	0.015
absepschange	−0.011	0.043	0.051^**	−0.088^***	0.004	−0.020	−0.007	0.021	0.084^***		−0.021
mom	0.00400	0.390^***	0.096^***	−0.037	−0.099^***	−0.080^***	0.046^*	−0.061^**	0.027	0.081^***

Spearman/Pearson correlation matrix, N = 1456
Prob> \|r\| under H0: Rho = 0
	pricedif	Aturnover	mtop	totalshares	shortdummy	supply	govownership	marketvalue	fanindex	absepschange	mom
Panel B correlations
pricedif		0.391^***	0.234^***	−0.533^***	−0.521^***	−0.235^***	0.0470^*	−0.582^***	−0.069^***	−0.073^***	−0.036
aturnover	0.314^***		0.789^***	−0.424^***	−0.485^***	−0.613^***	0.511^***	−0.263^***	0.067^**	0.025	0.217^***
mtop	0.219^***	0.624^***		−0.179^***	−0.342^***	−0.686^***	0.577^***	−0.094^***	0.109^***	−0.002	0.036
totalsharess	−0.264^***	−0.166^***	−0.106^***		0.459^***	0.062^**	0.180^***	0.858^***	−0.112^***	0.025	−0.059^**
shortdummy	−0.445^***	−0.380^***	−0.340^***	0.259^***		0.361^***	−0.260^***	0.445^***	0.055^**	0.059^***	−0.048^*
supply	−0.235^***	−0.451^***	−0.590^***	0.005	0.391^***		−0.640^***	−0.017	0.091^***	−0.001	−0.044^*
govownership	−0.0230	0.450^***	0.659^***	0.118^***	−0.304^***	−0.630^***		0.232^***	−0.076^***	0.044^*	−0.005
marketvalue	−0.578***	−0.230***	−0.099***	0.560***	0.421***	0.094***	0.223***		−0.017	0.141***	−0.040
fanindex	−0.00400	0.0310	0.097***	−0.112***	0.015	0.032	−0.072***	−0.110***		0.047^*	0.015
absepschange	−0.011	0.043	0.051^**	−0.088^***	0.004	−0.020	−0.007	0.021	0.084^***		−0.021
mom	0.00400	0.390^***	0.096^***	−0.037	−0.099^***	−0.080^***	0.046^*	−0.061^**	0.027	0.081^***

Note(s): Spearman’s rank correlations appear above the diagonal while Pearson’s correlation coefficients appear below the diagonal. ^*, ^** and ^*** indicate statistically significant at the 10%, 5% and 1% levels, respectively. All variables are as defined in Panel A of Table 3

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