Table 7 NPS's investment strategy III...

Table 7

NPS's investment strategy III

Trading amount	Internal			External
Trading amount	Low	Middle	High	Low	Middle	High
Variable	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
Variable	t-val	t-val	t-val	t-val	t-val	t-val
Return(t-1)	−0.1449	−3.7154	−2.1214	−0.2617	0.4139	−0.8324
Return(t-1)	−0.04	−3.06***	−4.60***	−0.30	0.70	−3.15***
Return(t-2)	0.7931	1.7734	0.3847	1.1665	−1.0760	0.3597
Return(t-2)	0.25	1.49	0.82	1.44	−1.87*	1.35
Return(t-3)	−3.4255	1.4253	−0.4277	0.2937	−1.0357	0.5867
Return(t-3)	−1.08	1.26	−0.91	0.37	−1.88*	2.19**
Return(t-4)	−1.2294	1.0039	−0.4525	−0.2931	−0.1529	0.2015
Return(t-4)	−0.37	0.89	−0.97	−0.35	−0.28	0.75
Return(t-5)	−1.0828	1.3173	−0.1447	−0.5812	0.7199	−0.1419
Return(t-5)	−0.34	1.23	−0.31	−0.72	1.38	−0.53
Return(t-6)	−2.6690	−1.0910	−0.1977	0.9395	0.9485	0.1063
Return(t-6)	−0.81	−1.02	−0.43	1.14	1.83*	0.40
Return(t-7)	8.0986	1.1289	−0.5448	−1.2073	−0.7158	−0.4952
Return(t-7)	2.53**	1.04	−1.16	−1.49	−1.36	−1.84
Return(t-8)	−0.4017	1.1214	−0.9037	−0.4711	0.1725	−0.2231
Return(t-8)	−0.13	1.05	−1.93*	−0.62	0.33	−0.83
Return(t-9)	−5.2070	−1.5256	−2.0038	1.2187	−0.0546	−0.5588
Return(t-9)	−1.84*	−1.45	−4.27***	1.72*	−0.11	−2.08**
Return(t-10)	5.0740	−0.6356	−0.4013	−1.8621	−1.5942	−0.2895
Return(t-10)	1.72*	−0.61	−0.87	−2.55**	−3.16***	−1.09
Adj R-Sq	0.2052	0.1888	0.1743	0.9558	0.8516	0.8248

Trading amount	Internal			External
Trading amount	Low	Middle	High	Low	Middle	High
Variable	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
Variable	t-val	t-val	t-val	t-val	t-val	t-val
Return(t-1)	−0.1449	−3.7154	−2.1214	−0.2617	0.4139	−0.8324
Return(t-1)	−0.04	−3.06***	−4.60***	−0.30	0.70	−3.15***
Return(t-2)	0.7931	1.7734	0.3847	1.1665	−1.0760	0.3597
Return(t-2)	0.25	1.49	0.82	1.44	−1.87*	1.35
Return(t-3)	−3.4255	1.4253	−0.4277	0.2937	−1.0357	0.5867
Return(t-3)	−1.08	1.26	−0.91	0.37	−1.88*	2.19**
Return(t-4)	−1.2294	1.0039	−0.4525	−0.2931	−0.1529	0.2015
Return(t-4)	−0.37	0.89	−0.97	−0.35	−0.28	0.75
Return(t-5)	−1.0828	1.3173	−0.1447	−0.5812	0.7199	−0.1419
Return(t-5)	−0.34	1.23	−0.31	−0.72	1.38	−0.53
Return(t-6)	−2.6690	−1.0910	−0.1977	0.9395	0.9485	0.1063
Return(t-6)	−0.81	−1.02	−0.43	1.14	1.83*	0.40
Return(t-7)	8.0986	1.1289	−0.5448	−1.2073	−0.7158	−0.4952
Return(t-7)	2.53**	1.04	−1.16	−1.49	−1.36	−1.84
Return(t-8)	−0.4017	1.1214	−0.9037	−0.4711	0.1725	−0.2231
Return(t-8)	−0.13	1.05	−1.93*	−0.62	0.33	−0.83
Return(t-9)	−5.2070	−1.5256	−2.0038	1.2187	−0.0546	−0.5588
Return(t-9)	−1.84*	−1.45	−4.27***	1.72*	−0.11	−2.08**
Return(t-10)	5.0740	−0.6356	−0.4013	−1.8621	−1.5942	−0.2895
Return(t-10)	1.72*	−0.61	−0.87	−2.55**	−3.16***	−1.09
Adj R-Sq	0.2052	0.1888	0.1743	0.9558	0.8516	0.8248

Note(s):

${N I F}_{i, t} = a_{0} + \sum_{m = 1}^{10} β_{1, t - m} ⨯ {R e t u r n}_{i, t - m} + \sum_{m = 1}^{10} β_{2, t - m} ⨯ {N I F}_{i, t - m} + ε_{i, t}$

${N I F}_{i, t}$ is the daily net investment indicator of the NPS, and ${R e t u r n}_{i, t}$ is the daily rate of return of a specific stock on a specific day. The stocks are divided into three groups based on market capitalization. *, ** and *** indicate statistically significant values at the 10%, 5% and 1% levels, respectively

Source(s): Table by authors

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