Table 9. The exogenous shock of...

Table 9.

The exogenous shock of day-trading

Variables	Before	After	Difference	N
Panel A: Full sample
DV	0.970	1.818	0.848^***	396
DVP	0.029	0.059	0.030^***	396
S	0.006	0.007	0.001^***	396
ILLQ	−7.597	−7.714	−0.117^*	396
HL	2.458	3.684	1.226^***	396
Sigma	0.016	0.025	0.009^***	396
Panel B: Original sample (eligible before June 1, 2015)
DV	1.950	1.994	0.044^**	197
DVP	0.059	0.060	0.001	197
S	0.006	0.006	0.001^***	197
ILLQ	−7.803	−7.886	−0.083	197
HL	2.227	3.012	0.785^***	197
Sigma	0.014	0.021	0.006^***	197
Panel C: New sample (eligible after June 1, 2015)
DV	0.000	1.643	1.643^***	199
DVP	0.000	0.058	0.058^***	199
S	0.006	0.008	0.002^***	199
ILLQ	−7.392	−7.543	−0.152^*	199
HL	2.687	4.349	1.662^***	199
Sigma	0.019	0.030	0.012^***	199

Variables	Before	After	Difference	N
Panel A: Full sample
DV	0.970	1.818	0.848^***	396
DVP	0.029	0.059	0.030^***	396
S	0.006	0.007	0.001^***	396
ILLQ	−7.597	−7.714	−0.117^*	396
HL	2.458	3.684	1.226^***	396
Sigma	0.016	0.025	0.009^***	396
Panel B: Original sample (eligible before June 1, 2015)
DV	1.950	1.994	0.044^**	197
DVP	0.059	0.060	0.001	197
S	0.006	0.006	0.001^***	197
ILLQ	−7.803	−7.886	−0.083	197
HL	2.227	3.012	0.785^***	197
Sigma	0.014	0.021	0.006^***	197
Panel C: New sample (eligible after June 1, 2015)
DV	0.000	1.643	1.643^***	199
DVP	0.000	0.058	0.058^***	199
S	0.006	0.008	0.002^***	199
ILLQ	−7.392	−7.543	−0.152^*	199
HL	2.687	4.349	1.662^***	199
Sigma	0.019	0.030	0.012^***	199

Note:

This table presents the average values for DV, DVP, S, ILLQ, Sigma and HL for the full sample, each subsample (originally eligible and newly eligible group) in two windows (before and after). On the TWSE, a further relaxation of day trading policy on June 1, 2015, can be viewed as an exogenous shock to day trading activity. On that day, in addition to the initially selected companies, the TWSE allowed more stocks to be eligible for day trading. The “Full Sample” (Panel A) comprises 396 eligible day trading stocks. The “Original Sample” (Panel B) is consists of 197 day trading stocks that are available for day trading before June 1, 2015. The “New Sample” (Panel C) comprises 199 stocks that are newly eligible for day trading after June 1, 2015. Differences are examined by T-test.

** and

*** denote significance at the 10, 5 and 1%, respectively

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