Robustness tests
| Variables | (1) IPO First-day premium | (2) Relative turnover of AH shares | (3) year fixed effects | |||
|---|---|---|---|---|---|---|
| Equation (3) | Equation (4) | Equation (3) | Equation (4) | Equation (3) | Equation (4) | |
| pricedif | aturnover | pricedif | aturnover | pricedif | aturnover | |
| pricedif | 0.781*** (3.203) | 0.371 (1.053) | 0.462* (1.694) | |||
| aturnover | −0.221*** (−3.361) | −0.302 (−1.578) | −0.168 (−1.417) | |||
| mtop | 1.161*** (7.525) | 0.892*** (4.237) | 0.934*** (3.388) | 1.128*** (5.614) | 0.722*** (3.790) | 1.120*** (7.540) |
| totalsharess | 0.180*** (6.184) | −0.0932** (−1.965) | 0.131*** (3.477) | 0.106** (2.527) | 0.0907*** (3.751) | −0.0505 (−1.500) |
| shortdummy | −0.420*** (−6.579) | 0.183 (1.484) | −0.449*** (−7.932) | 0.224 (1.268) | −0.349*** (−5.623) | 0.175 (1.554) |
| supply | −0.189*** (−8.362) | 0.0919* (1.760) | −0.0871*** (−4.131) | −0.0117 (−0.343) | −0.0777*** (−4.215) | 0.0216 (0.806) |
| mom | 1.604*** (13.08) | 0.524*** (4.791) | 0.925*** (9.308) | |||
| govownership | −1.085*** (−6.867) | 1.533*** (4.510) | −0.529*** (−3.650) | 0.503** (2.030) | −0.668*** (−5.044) | 0.666*** (3.052) |
| marketvalue | −0.327*** (−14.530) | 0.129* (1.786) | −0.360*** (−6.938) | −0.147 (−1.450) | −0.317*** (−13.360) | 0.0122 (0.150) |
| absepschange | 0.0465 (0.411) | −0.198* (−1.695) | 0.0189 (0.204) | |||
| fanindex | −0.115*** (−5.169) | −0.0611*** (−3.194) | −0.0613*** (−3.473) | |||
| Yeardummy | YES | YES | ||||
| Constant | 8.805*** (19.280) | −4.838*** (−2.693) | 8.666*** (10.39) | 1.122 (0.454) | 8.040*** (16.470) | −1.175 (−0.602) |
| Observations | 1,141 | 1,141 | 1,385 | 1,385 | 1,456 | 1,456 |
| Adj R2 | 0.431 | 0.311 | 0.337 | 0.344 | 0.388 | 0.553 |
| Variables | (1) IPO First-day premium | (2) Relative turnover of AH shares | (3) year fixed effects | |||
|---|---|---|---|---|---|---|
| pricedif | aturnover | pricedif | aturnover | pricedif | aturnover | |
| pricedif | 0.781*** (3.203) | 0.371 (1.053) | 0.462* (1.694) | |||
| aturnover | −0.221*** (−3.361) | −0.302 (−1.578) | −0.168 (−1.417) | |||
| mtop | 1.161*** (7.525) | 0.892*** (4.237) | 0.934*** (3.388) | 1.128*** (5.614) | 0.722*** (3.790) | 1.120*** (7.540) |
| totalsharess | 0.180*** (6.184) | −0.0932** (−1.965) | 0.131*** (3.477) | 0.106** (2.527) | 0.0907*** (3.751) | −0.0505 (−1.500) |
| shortdummy | −0.420*** (−6.579) | 0.183 (1.484) | −0.449*** (−7.932) | 0.224 (1.268) | −0.349*** (−5.623) | 0.175 (1.554) |
| supply | −0.189*** (−8.362) | 0.0919* (1.760) | −0.0871*** (−4.131) | −0.0117 (−0.343) | −0.0777*** (−4.215) | 0.0216 (0.806) |
| mom | 1.604*** (13.08) | 0.524*** (4.791) | 0.925*** (9.308) | |||
| govownership | −1.085*** (−6.867) | 1.533*** (4.510) | −0.529*** (−3.650) | 0.503** (2.030) | −0.668*** (−5.044) | 0.666*** (3.052) |
| marketvalue | −0.327*** (−14.530) | 0.129* (1.786) | −0.360*** (−6.938) | −0.147 (−1.450) | −0.317*** (−13.360) | 0.0122 (0.150) |
| absepschange | 0.0465 (0.411) | −0.198* (−1.695) | 0.0189 (0.204) | |||
| fanindex | −0.115*** (−5.169) | −0.0611*** (−3.194) | −0.0613*** (−3.473) | |||
| Yeardummy | YES | YES | ||||
| Constant | 8.805*** (19.280) | −4.838*** (−2.693) | 8.666*** (10.39) | 1.122 (0.454) | 8.040*** (16.470) | −1.175 (−0.602) |
| Observations | 1,141 | 1,141 | 1,385 | 1,385 | 1,456 | 1,456 |
| 0.431 | 0.311 | 0.337 | 0.344 | 0.388 | 0.553 | |
Note(s): In Column 2, aturnovers is a relative turnover between A and H shares: the A share turnover divide H share turnover. In Column 3, Yeardummy represents dummy variables that indicate the year of each observation. t-statistics are reported in parentheses, with *, ** and *** indicate statistically significant at the 10%, 5% and 1% levels, respectively. All variables are as defined in Table 3
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