Table AI Model I regression results –...

Table AI

Model I regression results – turnover price impact ratio

Ticker	SVI	SVI market	Lag_ TPI	Size	Size×SVI	Week return	Returnsd	Weekvol	Lag_ time	Constant	n	Adj. R²
BFC	4.484	0.114**	0.166	7.953	−0.213	0.230	−0.303	−0.0265	−0.00774	−167.8	147	0.108
CAV	3.033	0.0465	−0.0230	4.609	−0.140	0.0399	−0.496	−0.0552	0.00374	−98.61	190	0.040
CII	0.674	0.0419	0.103**	4.569	−0.0273	0.155	−1.699***	0.00109	−0.036***	−97.76	231	0.078
CTD	3.472	0.0216	0.0415	−4.739	−0.151	−0.00456	−1.292*	0.00238	−0.00180	109.0	224	0.110
CTG	−1.475	0.0714	0.316***	−19.25	0.0546	−0.458***	−1.478*	0.00196	−0.040***	493.9	242	0.404
CTI	−3.586	0.222***	0.0664	−20.91***	0.176	−0.217	−3.071***	0.0509	−0.0727**	436.9***	195	0.444
DCM	11.49	0.0725	0.307***	−25.35	−0.515	0.0426	−0.469	−0.0236	−0.118**	597.8	147	0.249
DHG	−21.76***	0.0636	0.261***	−51.16***	0.954***	−0.0393	−1.293	−0.00714	−0.0478***	1,179***	248	0.303
DPM	7.619	0.135**	0.236***	30.03*	−0.326	−0.170	0.323	−0.0359	0.0681**	−688.1*	248	0.214
DPR	1.831	0.0495	0.0126	−21.69***	−0.0859	−0.204	0.561	−0.0277	−0.0292***	462.2***	236	0.094
DRC	1.817	0.0377	0.0559	6.278	−0.0844	−0.0328	−0.534	−0.0173	−0.00473	−133.3	244	0.071
DXG	14.84**	0.154***	0.657***	14.21**	−0.706**	−0.343***	−2.894***	0.00332	−0.00822	−292.1**	241	0.615
FCN	1.253	−0.0221	0.186***	−5.219	−0.0605	−0.177	−0.892	−0.0142	−0.0107	116.0	244	0.190
GMD	27.64*	0.0840*	0.283***	7.692	−1.260*	−0.487**	−2.554**	−0.0284**	−0.0483***	−147.0	244	0.427
GTN	−3.830	0.0744	0.426***	−1.865	0.182	0.0225	−0.677	−0.00192	0.0127	41.60	180	0.357
HAG	0.921	0.108**	0.238***	−2.152	−0.0387	−0.210	−0.868	−0.0144**	−0.0481	66.08	247	0.226
HBC	−5.386	0.0792*	0.619***	−1.638	0.251	−0.200*	−2.085***	0.00303	−0.0372	44.60	243	0.553
HNG	8.964***	0.0121	0.0593**	33.04***	−0.403***	6.34e-05	0.154	−0.00952***	0.000193	−732.7***	148	0.575
HPG	−4.367	0.0926**	0.296***	−1.850	0.183	−0.208	−1.586*	−0.000723	−0.0597***	56.91	247	0.470
HQC	−1.662*	−0.00296	0.877***	−3.804***	0.0799*	−0.115***	−1.572***	0.0278***	−0.00366	78.56***	215	0.818
HT1	2.831	0.0204	0.450***	10.68**	−0.126	0.0429	−0.421	−0.0242	−0.0195**	−235.6**	243	0.274
IJC	3.886	0.126***	0.333***	3.751	−0.179	−0.275**	−0.882	0.00859	0.00558	−82.50	233	0.240
IMP	−3.461	0.0426	0.0313	−9.077	0.168	0.219	−0.405	−0.0694	0.0354*	187.1	241	0.047
KBC	11.38***	0.0792**	0.318***	23.34***	−0.502***	−0.0482	−2.415***	−0.00371	−0.0102	−522.6***	247	0.524
KDC	1.836	0.0371	0.342***	3.538	−0.0826	−0.0319	−1.694***	0.00304	−0.00704	−75.77	245	0.466
KSB	−3.667***	−0.0150	0.231***	−2.191	0.174***	0.0570	1.240**	−0.0197	−0.00848	47.13	238	0.121
LDG	−15.92**	0.226**	0.320***	−18.17	0.804**	−0.135	−2.373*	−0.0652*	−0.170***	410.0	145	0.499
MBB	−1.800	0.0542	0.284***	11.50	0.0698	−0.121	−1.344*	−0.000867	0.00837	−264.1	247	0.428
MWG	−6.536	0.141**	0.273***	−4.145	0.276	−0.469***	−0.905	−0.00544	−0.122***	121.3	195	0.541
NBB	−0.455	−0.000437	0.103*	0.517	0.0221	0.0147	0.291	−0.0527	0.00963	−9.591	233	0.052
NKG	−1.223	−0.0117	0.0542	1.113	0.0570	−0.0529	0.284	−0.00640	−0.00978	−20.91	241	0.028
NLG	5.241	−0.0839*	−0.0889	−22.16***	−0.240	−0.309*	0.572	−0.00681	0.0369*	480.7***	232	0.179
NT2	0.284	0.00958	0.494***	5.965	−0.0127	−0.0156	−2.350**	0.0219	0.0510*	−140.2	149	0.417
PDR	−1.599	0.00295	−0.0151	−5.027***	0.0738	0.0118	0.292*	−0.00235	0.00167	108.4***	222	0.078
PHR	14.90**	0.0577	0.00462	26.47**	−0.696**	−0.0996	1.928***	−0.0323	−0.0626***	−557.5**	227	0.239
PTB	−4.217***	−0.00436	0.256***	−3.632	0.199***	0.0465	−0.466	−0.00212	−0.0113	79.88	243	0.124
PVD	4.245	0.284***	0.131*	11.96*	−0.189	−0.0862	0.212	−0.00589	−0.0683**	−254.4*	247	0.430
PVT	−10.69	0.166***	0.299***	−17.56	0.491	−0.319**	−1.567**	−0.0208	0.0414***	385.7	247	0.482
QCG	−1.119	0.00275	0.179***	−0.0364	0.0524	0.0204	−0.294	−0.0274	0.0138*	2.061	237	0.111
REE	2.069	0.258***	0.340***	−16.57	−0.0969	−1.138***	−1.694	−0.0330**	0.00999	393.8	245	0.510
SJD	5.305	−0.00653	−0.0315	7.868	−0.255	−0.335	−0.203	−0.0499	−0.0234*	−157.3	234	0.041
SJS	−2.224	−0.00171	0.556***	2.342	0.103	0.191***	−0.922***	0.0343*	−0.00517	−50.26	247	0.506
SKG	−10.13***	0.0688*	−0.0296	−12.61***	0.474***	−0.0691	0.465	−0.0434	−0.0483***	278.9***	198	0.232
STB	12.97	0.0151	0.275***	−2.113	−0.552	−0.225	−1.376**	0.00118	−0.0343**	62.55	247	0.396
STG	10.17	−0.147**	0.123	−10.84**	−0.502	0.0197	1.104	−0.0691	0.0710*	212.2**	163	0.279
VHC	5.843***	−0.0496	0.578***	−1.032	−0.264***	0.00230	−0.575	0.0238	0.0256**	21.40	245	0.425
VNM	−46.55***	0.104*	0.158*	−105.6***	1.802***	−0.0518	−0.0215	−0.00347	0.0349*	2,729***	243	0.496
VSC	−0.475	0.00445	0.255***	−3.144	0.0222	−0.112	−0.912	−0.00296	−0.00589	70.67	245	0.187

Ticker	SVI	SVI market	Lag_ TPI	Size	Size×SVI	Week return	Returnsd	Weekvol	Lag_ time	Constant	n	Adj. R²
BFC	4.484	0.114**	0.166	7.953	−0.213	0.230	−0.303	−0.0265	−0.00774	−167.8	147	0.108
CAV	3.033	0.0465	−0.0230	4.609	−0.140	0.0399	−0.496	−0.0552	0.00374	−98.61	190	0.040
CII	0.674	0.0419	0.103**	4.569	−0.0273	0.155	−1.699***	0.00109	−0.036***	−97.76	231	0.078
CTD	3.472	0.0216	0.0415	−4.739	−0.151	−0.00456	−1.292*	0.00238	−0.00180	109.0	224	0.110
CTG	−1.475	0.0714	0.316***	−19.25	0.0546	−0.458***	−1.478*	0.00196	−0.040***	493.9	242	0.404
CTI	−3.586	0.222***	0.0664	−20.91***	0.176	−0.217	−3.071***	0.0509	−0.0727**	436.9***	195	0.444
DCM	11.49	0.0725	0.307***	−25.35	−0.515	0.0426	−0.469	−0.0236	−0.118**	597.8	147	0.249
DHG	−21.76***	0.0636	0.261***	−51.16***	0.954***	−0.0393	−1.293	−0.00714	−0.0478***	1,179***	248	0.303
DPM	7.619	0.135**	0.236***	30.03*	−0.326	−0.170	0.323	−0.0359	0.0681**	−688.1*	248	0.214
DPR	1.831	0.0495	0.0126	−21.69***	−0.0859	−0.204	0.561	−0.0277	−0.0292***	462.2***	236	0.094
DRC	1.817	0.0377	0.0559	6.278	−0.0844	−0.0328	−0.534	−0.0173	−0.00473	−133.3	244	0.071
DXG	14.84**	0.154***	0.657***	14.21**	−0.706**	−0.343***	−2.894***	0.00332	−0.00822	−292.1**	241	0.615
FCN	1.253	−0.0221	0.186***	−5.219	−0.0605	−0.177	−0.892	−0.0142	−0.0107	116.0	244	0.190
GMD	27.64*	0.0840*	0.283***	7.692	−1.260*	−0.487**	−2.554**	−0.0284**	−0.0483***	−147.0	244	0.427
GTN	−3.830	0.0744	0.426***	−1.865	0.182	0.0225	−0.677	−0.00192	0.0127	41.60	180	0.357
HAG	0.921	0.108**	0.238***	−2.152	−0.0387	−0.210	−0.868	−0.0144**	−0.0481	66.08	247	0.226
HBC	−5.386	0.0792*	0.619***	−1.638	0.251	−0.200*	−2.085***	0.00303	−0.0372	44.60	243	0.553
HNG	8.964***	0.0121	0.0593**	33.04***	−0.403***	6.34e-05	0.154	−0.00952***	0.000193	−732.7***	148	0.575
HPG	−4.367	0.0926**	0.296***	−1.850	0.183	−0.208	−1.586*	−0.000723	−0.0597***	56.91	247	0.470
HQC	−1.662*	−0.00296	0.877***	−3.804***	0.0799*	−0.115***	−1.572***	0.0278***	−0.00366	78.56***	215	0.818
HT1	2.831	0.0204	0.450***	10.68**	−0.126	0.0429	−0.421	−0.0242	−0.0195**	−235.6**	243	0.274
IJC	3.886	0.126***	0.333***	3.751	−0.179	−0.275**	−0.882	0.00859	0.00558	−82.50	233	0.240
IMP	−3.461	0.0426	0.0313	−9.077	0.168	0.219	−0.405	−0.0694	0.0354*	187.1	241	0.047
KBC	11.38***	0.0792**	0.318***	23.34***	−0.502***	−0.0482	−2.415***	−0.00371	−0.0102	−522.6***	247	0.524
KDC	1.836	0.0371	0.342***	3.538	−0.0826	−0.0319	−1.694***	0.00304	−0.00704	−75.77	245	0.466
KSB	−3.667***	−0.0150	0.231***	−2.191	0.174***	0.0570	1.240**	−0.0197	−0.00848	47.13	238	0.121
LDG	−15.92**	0.226**	0.320***	−18.17	0.804**	−0.135	−2.373*	−0.0652*	−0.170***	410.0	145	0.499
MBB	−1.800	0.0542	0.284***	11.50	0.0698	−0.121	−1.344*	−0.000867	0.00837	−264.1	247	0.428
MWG	−6.536	0.141**	0.273***	−4.145	0.276	−0.469***	−0.905	−0.00544	−0.122***	121.3	195	0.541
NBB	−0.455	−0.000437	0.103*	0.517	0.0221	0.0147	0.291	−0.0527	0.00963	−9.591	233	0.052
NKG	−1.223	−0.0117	0.0542	1.113	0.0570	−0.0529	0.284	−0.00640	−0.00978	−20.91	241	0.028
NLG	5.241	−0.0839*	−0.0889	−22.16***	−0.240	−0.309*	0.572	−0.00681	0.0369*	480.7***	232	0.179
NT2	0.284	0.00958	0.494***	5.965	−0.0127	−0.0156	−2.350**	0.0219	0.0510*	−140.2	149	0.417
PDR	−1.599	0.00295	−0.0151	−5.027***	0.0738	0.0118	0.292*	−0.00235	0.00167	108.4***	222	0.078
PHR	14.90**	0.0577	0.00462	26.47**	−0.696**	−0.0996	1.928***	−0.0323	−0.0626***	−557.5**	227	0.239
PTB	−4.217***	−0.00436	0.256***	−3.632	0.199***	0.0465	−0.466	−0.00212	−0.0113	79.88	243	0.124
PVD	4.245	0.284***	0.131*	11.96*	−0.189	−0.0862	0.212	−0.00589	−0.0683**	−254.4*	247	0.430
PVT	−10.69	0.166***	0.299***	−17.56	0.491	−0.319**	−1.567**	−0.0208	0.0414***	385.7	247	0.482
QCG	−1.119	0.00275	0.179***	−0.0364	0.0524	0.0204	−0.294	−0.0274	0.0138*	2.061	237	0.111
REE	2.069	0.258***	0.340***	−16.57	−0.0969	−1.138***	−1.694	−0.0330**	0.00999	393.8	245	0.510
SJD	5.305	−0.00653	−0.0315	7.868	−0.255	−0.335	−0.203	−0.0499	−0.0234*	−157.3	234	0.041
SJS	−2.224	−0.00171	0.556***	2.342	0.103	0.191***	−0.922***	0.0343*	−0.00517	−50.26	247	0.506
SKG	−10.13***	0.0688*	−0.0296	−12.61***	0.474***	−0.0691	0.465	−0.0434	−0.0483***	278.9***	198	0.232
STB	12.97	0.0151	0.275***	−2.113	−0.552	−0.225	−1.376**	0.00118	−0.0343**	62.55	247	0.396
STG	10.17	−0.147**	0.123	−10.84**	−0.502	0.0197	1.104	−0.0691	0.0710*	212.2**	163	0.279
VHC	5.843***	−0.0496	0.578***	−1.032	−0.264***	0.00230	−0.575	0.0238	0.0256**	21.40	245	0.425
VNM	−46.55***	0.104*	0.158*	−105.6***	1.802***	−0.0518	−0.0215	−0.00347	0.0349*	2,729***	243	0.496
VSC	−0.475	0.00445	0.255***	−3.144	0.0222	−0.112	−0.912	−0.00296	−0.00589	70.67	245	0.187

Notes: *,**,***Significant at 10, 5 and 1 percent levels, respectively

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