Table 3. The impact of day trading on...

Table 3.

The impact of day trading on the bid–ask spread

		Dependent: S
Regression models	(1)	(2)	(3)	(4)
Intercept	114.720*** (0.000)	119.934*** (0.000)	121.829*** (0.000)	120.738*** (0.000)
DV	1.623*** (0.000)	1.176*** (0.000)	1.592*** (0.000)	1.244*** (0.000)
Turnover	–	76.835*** (0.000)	–	90.520*** (0.000)
Retp	−0.155*** (0.000)	–	–	−0.330*** (0.000)
Retn	−0.246*** (0.000)	–	–	−0.121*** (0.000)
DR	0.036 (0.906)	0.104 (0.730)	0.080 (0.792)	0.047 (0.876)
Size	2.854*** (0.000)	1.215*** (0.001)	2.507*** (0.000)	1.297*** (0.000)
MI	−30.930*** (0.000)	−30.451*** (0.000)	−32.328*** (0.000)	−30.729*** (0.000)
Weekday_Effect	Yes	Yes	Yes	Yes
Month_Effect	Yes	Yes	Yes	Yes
Adjusted-R²	0.056	0.058	0.053	0.062
N	137,649	137,649	137,649	137,649

		Dependent: S
Regression models	(1)	(2)	(3)	(4)
Intercept	114.720*** (0.000)	119.934*** (0.000)	121.829*** (0.000)	120.738*** (0.000)
DV	1.623*** (0.000)	1.176*** (0.000)	1.592*** (0.000)	1.244*** (0.000)
Turnover	–	76.835*** (0.000)	–	90.520*** (0.000)
Retp	−0.155*** (0.000)	–	–	−0.330*** (0.000)
Retn	−0.246*** (0.000)	–	–	−0.121*** (0.000)
DR	0.036 (0.906)	0.104 (0.730)	0.080 (0.792)	0.047 (0.876)
Size	2.854*** (0.000)	1.215*** (0.001)	2.507*** (0.000)	1.297*** (0.000)
MI	−30.930*** (0.000)	−30.451*** (0.000)	−32.328*** (0.000)	−30.729*** (0.000)
Weekday_Effect	Yes	Yes	Yes	Yes
Month_Effect	Yes	Yes	Yes	Yes
Adjusted-R²	0.056	0.058	0.053	0.062
N	137,649	137,649	137,649	137,649

Note:

The following is the regression model for the analysis of the day trading impact on the bid–ask spread:

\begin{array}{l} S_{t, i} = α + β_{1} D V_{t, i} + β_{2} T u r n o v e r_{t, i} + β_{3} R e t p_{t, i} + β_{4} R e t n_{t, i} + β_{5} D R_{i} + β_{6} S i z e_{i} + β_{7} M I_{t} + ε_{t} \end{array}

where S_t_,_i is the bid–ask spread, DV_t_,_i is the day trading volume, Turnover_t_,_i is the turnover rate and Retp_t_,_i and Retn_t_,_i are the positive and negative returns. All aforementioned variables are for stock i at day t. Moreover, DR_t is the debt ratio for stock i, Size_t is the logarithm market value for stock i and MI_t is the stock market index at day t. The analysis is conducted using panel regression. The p-values are in parentheses.

***denotes the significance at the 1%

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