Table 8. The impact of day trading on...

Table 8.

The impact of day trading on stock volatility (two-stage regression)

		Dependent: Sigma
Regression models	(1)	(2)	(3)	(4)
Intercept	−58.297*** (0.000)	−25.936*** (0.000)	−24.926*** (0.000)	−58.075*** (0.000)
DV	0.178*** (0.000)	0.330*** (0.000)	0.536*** (0.000)	0.164*** (0.000)
Turnover	–	38.156*** (0.000)	–	3.379 (0.328)
Retp	0.500*** (0.000)	–	–	0.493*** (0.000)
Retn	−0.594*** (0.000)	–	–	−0.589*** (0.000)
DR	−0.439 (0.208)	−0.457 (0.192)	−0.469 (0.181)	−0.439 (0.209)
Size	−2.241*** (0.000)	−3.238*** (0.000)	−2.595*** (0.000)	−2.299*** (0.000)
MI	17.076*** (0.000)	10.117*** (0.000)	9.167*** (0.000)	17.085*** (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	137,253	137,253	137,253	137,253

		Dependent: Sigma
Regression models	(1)	(2)	(3)	(4)
Intercept	−58.297*** (0.000)	−25.936*** (0.000)	−24.926*** (0.000)	−58.075*** (0.000)
DV	0.178*** (0.000)	0.330*** (0.000)	0.536*** (0.000)	0.164*** (0.000)
Turnover	–	38.156*** (0.000)	–	3.379 (0.328)
Retp	0.500*** (0.000)	–	–	0.493*** (0.000)
Retn	−0.594*** (0.000)	–	–	−0.589*** (0.000)
DR	−0.439 (0.208)	−0.457 (0.192)	−0.469 (0.181)	−0.439 (0.209)
Size	−2.241*** (0.000)	−3.238*** (0.000)	−2.595*** (0.000)	−2.299*** (0.000)
MI	17.076*** (0.000)	10.117*** (0.000)	9.167*** (0.000)	17.085*** (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	137,253	137,253	137,253	137,253

Note:

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

\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. 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 the regression analysis. The p-values are in parentheses.

***denotes the significance at the 1%

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