Table 7. The impact of day trading on...

Table 7.

The impact of day trading on price depth (two-stage regression)

		Dependent: ILLQ
Regression models	(1)	(2)	(3)	(4)
Intercept	1.304 (0.359)	−9.945*** (0.000)	−10.271*** (0.000)	1.297 (0.362)
DV	−0.240*** (0.000)	−0.299*** (0.000)	−0.367*** (0.000)	−0.239*** (0.000)
Turnover	–	−12.643*** (0.000)	–	−0.097 (0.901)
Retp	−0.181*** (0.000)	–	–	−0.181*** (0.000)
Retn	0.202*** (0.000)	–	–	0.202*** (0.000)
DR	0.163** (0.038)	0.172** (0.030)	0.175** (0.027)	0.163** (0.038)
Size	−0.830*** (0.000)	−0.478*** (0.000)	−0.707*** (0.000)	−0.828*** (0.000)
MI	−1.147*** (0.002)	1.267*** (0.001)	1.597*** (0.000)	−1.147*** (0.002)
Week_Effect	Yes	Yes	Yes	Yes
Month_Effect	Yes	Yes	Yes	Yes
Adjusted-R²	0.114	0.098	0.096	0.114
N	137,123	137,123	137,123	137,123

		Dependent: ILLQ
Regression models	(1)	(2)	(3)	(4)
Intercept	1.304 (0.359)	−9.945*** (0.000)	−10.271*** (0.000)	1.297 (0.362)
DV	−0.240*** (0.000)	−0.299*** (0.000)	−0.367*** (0.000)	−0.239*** (0.000)
Turnover	–	−12.643*** (0.000)	–	−0.097 (0.901)
Retp	−0.181*** (0.000)	–	–	−0.181*** (0.000)
Retn	0.202*** (0.000)	–	–	0.202*** (0.000)
DR	0.163** (0.038)	0.172** (0.030)	0.175** (0.027)	0.163** (0.038)
Size	−0.830*** (0.000)	−0.478*** (0.000)	−0.707*** (0.000)	−0.828*** (0.000)
MI	−1.147*** (0.002)	1.267*** (0.001)	1.597*** (0.000)	−1.147*** (0.002)
Week_Effect	Yes	Yes	Yes	Yes
Month_Effect	Yes	Yes	Yes	Yes
Adjusted-R²	0.114	0.098	0.096	0.114
N	137,123	137,123	137,123	137,123

Note:

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

\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 the day trading volume, Turnover_t_,_i is the turnover rate and Retp_t_,_i and Retn_t_,_i are 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. This table reports the results of the second stage. The p-values are in parentheses.

** and

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

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