Table 10 NPS's market impact on return...

Table 10

NPS's market impact on return

	Total market				KOSPI				KOSDAQ
	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val
Panel A: Daily return
External	0.5764			0.5808	0.5781			0.5823	0.4820			0.5045
External	6.57***			7.17***	6.54***			7.11***	6.08***			6.40***
Internal		−0.0974		−0.1137		−0.0936		−0.1099		−0.4236		−0.4443
Internal		−5.00***		−7.72***		−4.37***		−7.07***		−5.92***		−6.26***
External-Internal			0.5322				0.5351				0.3278
External-Internal			6.16***				6.28***				3.67***
Adj R-Sq	0.0331	0.0103	0.0252	0.0344	0.0337	0.0107	0.0258	0.0349	0.1633	0.1626	0.1548	0.1770
Panel B: Intraday return
External	0.5376			0.5373	0.5368			0.5364	0.6531			0.6609
External	8.17***			8.07***	7.82***			8.71***	8.89***			9.00***
Internal		0.0236		0.0085		0.0250		0.0100		−0.1271		−0.1542
Internal		4.46***		1.63		4.72***		1.91*		−1.89*		−2.33**
External-Internal			0.5678				0.5676				0.5945
External-Internal			8.04***				8.80***				7.18***
Adj R-Sq	0.0391	0.0079	0.0350	0.0391	0.0391	0.0079	0.0351	0.0391	0.0695	0.0390	0.0586	0.0713

	Total market				KOSPI				KOSDAQ
	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val
Panel A: Daily return
External	0.5764			0.5808	0.5781			0.5823	0.4820			0.5045
External	6.57***			7.17***	6.54***			7.11***	6.08***			6.40***
Internal		−0.0974		−0.1137		−0.0936		−0.1099		−0.4236		−0.4443
Internal		−5.00***		−7.72***		−4.37***		−7.07***		−5.92***		−6.26***
External-Internal			0.5322				0.5351				0.3278
External-Internal			6.16***				6.28***				3.67***
Adj R-Sq	0.0331	0.0103	0.0252	0.0344	0.0337	0.0107	0.0258	0.0349	0.1633	0.1626	0.1548	0.1770
Panel B: Intraday return
External	0.5376			0.5373	0.5368			0.5364	0.6531			0.6609
External	8.17***			8.07***	7.82***			8.71***	8.89***			9.00***
Internal		0.0236		0.0085		0.0250		0.0100		−0.1271		−0.1542
Internal		4.46***		1.63		4.72***		1.91*		−1.89*		−2.33**
External-Internal			0.5678				0.5676				0.5945
External-Internal			8.04***				8.80***				7.18***
Adj R-Sq	0.0391	0.0079	0.0350	0.0391	0.0391	0.0079	0.0351	0.0391	0.0695	0.0390	0.0586	0.0713

Note(s):

${V a r i a b l e}_{i, t} = a_{0} + μ_{i} + λ_{t} + β_{0} ⨯ {N I F}_{i, t} + β_{1} ⨯ {C A R}_{i, t - 5, t - 1} + β_{2} ⨯ {P r i c e}_{i, t} + β_{3} ⨯ {T r d W o n}_{i, t} + β_{4} ⨯ {M k t C a p}_{i, t} + β_{5} ⨯ {T u r n O v e r}_{i, t} + β_{6} ⨯ {T r a d e S i z w}_{i, t} + β_{7} ⨯ {S p r e a d}_{i, t} + β_{8} ⨯ {V o l a t i l i t y}_{i, t} + β_{9} ⨯ {A m i h u d}_{i, t} + ε_{i, t}$

The effect of the trading of the NPS on the rate of return of individual stocks is regressed using the daily and intraday rate of return as the dependent variable. The daily rate of return is calculated as the closing price of the day compared to the closing price of the previous day, and the intraday rate of return is calculated as the closing price of the day compared to the market price of the day. Only the coefficient values of NIF are presented in the table, and the values for the control variables are not presented. *, ** and *** indicate statistically significant values at the 10%, 5% and 1% levels, respectively

Source(s): Table by authors

[ViewLarge]