Table 4. The impact of day trading on...

Table 4.

The impact of day trading on price depth

		Dependent: ILLQ
Regression models	(1)	(2)	(3)	(4)
Intercept	1.551 (0.273)	−9.585*** (0.000)	−9.888*** (0.000)	1.544 (0.275)
DV	−0.241*** (0.000)	−0.300*** (0.000)	−0.368*** (0.000)	−0.240*** (0.000)
Turnover	–	−12.631*** (0.000)	–	−0.099 (0.899)
Retp	−0.181*** (0.000)	–	–	−0.181*** (0.000)
Retn	0.202*** (0.000)	–	–	0.202*** (0.000)
DR	0.165** (0.036)	0.173** (0.029)	0.176** (0.026)	0.165** (0.036)
Size	−0.824*** (0.000)	−0.485*** (0.000)	−0.704*** (0.000)	−0.822*** (0.000)
MI	−1.215*** (0.001)	1.174*** (0.001)	1.497*** (0.000)	−1.215*** (0.001)
Week_Effect	Yes	Yes	Yes	Yes
Month_Effect	Yes	Yes	Yes	Yes
Adjusted-R²	0.114	0.098	0.096	0.114
N	137,519	137,519	137,519	137,519

		Dependent: ILLQ
Regression models	(1)	(2)	(3)	(4)
Intercept	1.551 (0.273)	−9.585*** (0.000)	−9.888*** (0.000)	1.544 (0.275)
DV	−0.241*** (0.000)	−0.300*** (0.000)	−0.368*** (0.000)	−0.240*** (0.000)
Turnover	–	−12.631*** (0.000)	–	−0.099 (0.899)
Retp	−0.181*** (0.000)	–	–	−0.181*** (0.000)
Retn	0.202*** (0.000)	–	–	0.202*** (0.000)
DR	0.165** (0.036)	0.173** (0.029)	0.176** (0.026)	0.165** (0.036)
Size	−0.824*** (0.000)	−0.485*** (0.000)	−0.704*** (0.000)	−0.822*** (0.000)
MI	−1.215*** (0.001)	1.174*** (0.001)	1.497*** (0.000)	−1.215*** (0.001)
Week_Effect	Yes	Yes	Yes	Yes
Month_Effect	Yes	Yes	Yes	Yes
Adjusted-R²	0.114	0.098	0.096	0.114
N	137,519	137,519	137,519	137,519

Note:

The following is the regression model for the analysis of the day trading impact on price depth:

\begin{array}{l} I L L Q_{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 ILLQ_t_,_i is the illiquidity ratio presenting price depth, DV_t_,_i is day trading volume, Turnover_t_,_i is the turnover rate and Retp_t_,_i and Retn_t_,_i are positive and negative return, respectively. The 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.

** and ***denote the significance at the 5% and 1%, respectively

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