Table 6. The impact of day trading on...

Table 6.

The impact of day trading on the bid–ask spread (two-stage regression)

		Dependent: S
Regression models	(1)	(2)	(3)	(4)
Intercept	119.076*** (0.000)	124.036*** (0.000)	126.044*** (0.000)	134.971*** (0.000)
DV	1.615*** (0.000)	1.170*** (0.000)	1.579*** (0.000)	1.239*** (0.000)
Turnover	–	75.896*** (0.000)	–	89.771*** (0.000)
Retp	−0.161*** (0.000)	–	–	−0.334*** (0.000)
Retn	−0.243*** (0.000)	–	–	−0.117*** (0.000)
DR	0.044 (0.885)	0.113 (0.709)	0.089 (0.768)	0.054 (0.858)
Size	2.857*** (0.000)	1.224*** (0.001)	2.503*** (0.000)	1.308*** (0.000)
MI	−32.015*** (0.000)	−31.480*** (0.000)	−33.372*** (0.000)	−31.793*** (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	137,253	137,253	137,253	137,253

		Dependent: S
Regression models	(1)	(2)	(3)	(4)
Intercept	119.076*** (0.000)	124.036*** (0.000)	126.044*** (0.000)	134.971*** (0.000)
DV	1.615*** (0.000)	1.170*** (0.000)	1.579*** (0.000)	1.239*** (0.000)
Turnover	–	75.896*** (0.000)	–	89.771*** (0.000)
Retp	−0.161*** (0.000)	–	–	−0.334*** (0.000)
Retn	−0.243*** (0.000)	–	–	−0.117*** (0.000)
DR	0.044 (0.885)	0.113 (0.709)	0.089 (0.768)	0.054 (0.858)
Size	2.857*** (0.000)	1.224*** (0.001)	2.503*** (0.000)	1.308*** (0.000)
MI	−32.015*** (0.000)	−31.480*** (0.000)	−33.372*** (0.000)	−31.793*** (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	137,253	137,253	137,253	137,253

Note:

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

\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 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 positive and negative returns, respectively. 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. This table reports the results of the second stage of regression. The p-values are in parentheses.

***denotes the significance at the 1%

[ViewLarge]

Sharing Unavailable