Table 5. The impact of day trading on...

Table 5.

The impact of day trading on stock volatility

		Dependent: Sigma
Regression models	(1)	(2)	(3)	(4)
Intercept	−55.353*** (0.000)	−23.422*** (0.000)	−22.483*** (0.000)	−55.128*** (0.000)
DV	0.176*** (0.000)	0.327*** (0.000)	0.533*** (0.000)	0.162*** (0.000)
Turnover	–	38.076*** (0.000)	–	3.398 (0.324)
Retp	0.499*** (0.000)	–	–	0.492*** (0.000)
Retn	−0.591*** (0.000)	–	–	−0.587*** (0.000)
DR	−0.428 (0.219)	−0.445 (0.203)	−0.457 (0.191)	−0.428 (0.219)
Size	−2.271*** (0.000)	−3.256*** (0.000)	−2.616*** (0.000)	−2.329*** (0.000)
MI	16.374*** (0.000)	9.510*** (0.000)	8.579*** (0.000)	16.381*** (0.000)
Weekday_Effect	Yes	Yes	Yes	Yes
Month_Effect	Yes	Yes	Yes	Yes
Adjusted-R²	0.029	0.022	0.021	0.029
N	137,649	137,649	137,649	137,649

		Dependent: Sigma
Regression models	(1)	(2)	(3)	(4)
Intercept	−55.353*** (0.000)	−23.422*** (0.000)	−22.483*** (0.000)	−55.128*** (0.000)
DV	0.176*** (0.000)	0.327*** (0.000)	0.533*** (0.000)	0.162*** (0.000)
Turnover	–	38.076*** (0.000)	–	3.398 (0.324)
Retp	0.499*** (0.000)	–	–	0.492*** (0.000)
Retn	−0.591*** (0.000)	–	–	−0.587*** (0.000)
DR	−0.428 (0.219)	−0.445 (0.203)	−0.457 (0.191)	−0.428 (0.219)
Size	−2.271*** (0.000)	−3.256*** (0.000)	−2.616*** (0.000)	−2.329*** (0.000)
MI	16.374*** (0.000)	9.510*** (0.000)	8.579*** (0.000)	16.381*** (0.000)
Weekday_Effect	Yes	Yes	Yes	Yes
Month_Effect	Yes	Yes	Yes	Yes
Adjusted-R²	0.029	0.022	0.021	0.029
N	137,649	137,649	137,649	137,649

Note:

The regression model for the analysis of day trading impact on stock volatility is as follows:

\begin{array}{l} S i g m a_{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 Sigma_t_,_i is the stock volatility, DV_t_,_i is the day trading volume, Turnover_t_,_i is the turnover rate and Retp_t_,_i and Retn_t_,_i are positive and negative returns, 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.

***denotes the significance at the 1%

[ViewLarge]

Sharing Unavailable