Table 1 Descriptive statistics Variables...

Table 1

Descriptive statistics

Variables	Mean	Std	Min	Median	Max	N
Panel A: All companies
S	6.132	8.433	0.000	2.807	96.149	137,649
Sigma	2.241	9.566	0.000	1.293	726.221	137,649
ILLQ	−7.442	2.253	−11.422	−7.959	0.000	137,519
HL	2.762	1.869	0.000	2.255	21.466	137,647
DV	1.583	1.030	0.000	1.708	5.217	137,653
DVP	0.064	0.070	0.000	0.043	0.751	137,519
Turnover	0.007	0.012	0.000	0.003	0.279	137,653
Retp	0.782	1.497	0.000	0.000	10.000	137,653
Retn	−0.785	1.396	−10.000	0.000	0.000	137,653
DR	0.447	0.194	0.000	0.440	0.977	137,653
MI	3.999	0.022	3.930	3.998	4.048	137,653
Size	4.246	0.587	0.000	4.189	6.699	137,653
Panel B: Financial industry
S	4.132	5.285	0.000	2.274	58.898	8,811
Sigma	1.360	7.769	0.000	0.753	474.663	8,811
ILLQ	−7.862	2.926	−11.244	−8.918	0.000	8,810
HL	1.642	1.075	0.000	1.385	11.786	8,810
DV	1.851	1.023	0.000	2.068	4.459	8,814
DVP	0.023	0.025	0.000	0.016	0.320	8,810
Panel C: Electronics industry
S	6.518	8.976	0.000	2.753	96.149	77,696
Sigma	2.471	10.385	0.000	1.454	726.221	77,696
ILLQ	−7.485	2.175	−11.422	0.000	−7.972	77,573
HL	3.003	1.957	0.000	2.484	21.466	77,696
DV	1.685	1.055	0.000	1.839	5.217	77,696
DVP	0.074	0.074	0.000	0.054	0.737	77,573
Panel D: Other industries
S	5.915	7.987	0.000	3.028	90.410	51,142
Sigma	2.048	8.501	0.000	1.193	562.437	51,142
ILLQ	−7.316	2.221	−10.306	−7.861	0.000	51,136
HL	2.594	1.749	0.000	2.116	18.813	51,141
DV	1.395	0.950	0.000	1.491	4.361	51,143
DVP	0.057	0.066	0.000	0.035	0.751	51,136

Variables	Mean	Std	Min	Median	Max	N
Panel A: All companies
S	6.132	8.433	0.000	2.807	96.149	137,649
Sigma	2.241	9.566	0.000	1.293	726.221	137,649
ILLQ	−7.442	2.253	−11.422	−7.959	0.000	137,519
HL	2.762	1.869	0.000	2.255	21.466	137,647
DV	1.583	1.030	0.000	1.708	5.217	137,653
DVP	0.064	0.070	0.000	0.043	0.751	137,519
Turnover	0.007	0.012	0.000	0.003	0.279	137,653
Retp	0.782	1.497	0.000	0.000	10.000	137,653
Retn	−0.785	1.396	−10.000	0.000	0.000	137,653
DR	0.447	0.194	0.000	0.440	0.977	137,653
MI	3.999	0.022	3.930	3.998	4.048	137,653
Size	4.246	0.587	0.000	4.189	6.699	137,653
Panel B: Financial industry
S	4.132	5.285	0.000	2.274	58.898	8,811
Sigma	1.360	7.769	0.000	0.753	474.663	8,811
ILLQ	−7.862	2.926	−11.244	−8.918	0.000	8,810
HL	1.642	1.075	0.000	1.385	11.786	8,810
DV	1.851	1.023	0.000	2.068	4.459	8,814
DVP	0.023	0.025	0.000	0.016	0.320	8,810
Panel C: Electronics industry
S	6.518	8.976	0.000	2.753	96.149	77,696
Sigma	2.471	10.385	0.000	1.454	726.221	77,696
ILLQ	−7.485	2.175	−11.422	0.000	−7.972	77,573
HL	3.003	1.957	0.000	2.484	21.466	77,696
DV	1.685	1.055	0.000	1.839	5.217	77,696
DVP	0.074	0.074	0.000	0.054	0.737	77,573
Panel D: Other industries
S	5.915	7.987	0.000	3.028	90.410	51,142
Sigma	2.048	8.501	0.000	1.193	562.437	51,142
ILLQ	−7.316	2.221	−10.306	−7.861	0.000	51,136
HL	2.594	1.749	0.000	2.116	18.813	51,141
DV	1.395	0.950	0.000	1.491	4.361	51,143
DVP	0.057	0.066	0.000	0.035	0.751	51,136

Note:

The sample period is from June 1, 2015 to October 31, 2016, including 349 trading days for 396 individual stocks. S, bid–ask spread; Sigma, stock volatility; ILLQ, price depth; HL, difference between the highest and lowest price within a trading day; DV, share volume of day trading; DVP, percentage volume of day trading percentage; Turnover, daily trading turnover; Retp, positive component of daily stock return; Retn, negative component of daily stock return; DR, ratio of total debt over the total asset; Size, logarithmic market value of a stock; MI, logarithmic price index (Formosa Stock Index) to measure the level of Taiwan stock market. Panels A–D present the results for the whole sample, companies in the financial industry, companies in the electronics industry and companies in other industries, respectively

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