Table AIV Model I robustness check –...

Table AIV

Model I robustness check – alternative illiquidity measure regression: Amihud illiquidity ratio

Ticker	SVI	SVI market	Lag_amihud	size	size × SVI	Week return	returnsd	Weekvol	Lag_time	Constant	n	Adj. R²
BFC	4.372	0.108**	0.203	8.285	−0.208	0.231	−0.367	−0.0209	−0.00648	−175.0	147	0.111
CAV	3.866	0.0492	−0.0321	6.014	−0.180	0.0361	−0.328	−0.0593	−0.00506	−127.1	190	0.042
CII	0.484	0.0364	0.0968**	5.334*	−0.0188	0.129	−1.679***	0.00170	−0.0358***	−115.2*	244	0.084
CTD	9.238***	−0.0248	−0.196***	−3.043	−0.404***	−0.220	−0.254	0.00639	−0.00673	70.31	243	0.181
CTG	−9.574	0.0739	0.324***	−27.59	0.381	−0.415**	−1.378*	0.00150	−0.0415***	699.1*	236	0.438
CTI	−6.818***	0.00960	0.106	−26.94***	0.333***	−0.209	0.463	0.00555	0.0111	549.1***	190	0.442
DCM	10.18	0.0676	0.323***	−28.26	−0.457	0.0209	−0.449	−0.0234	−0.114**	662.0	147	0.258
DHG	−21.71***	0.0625	0.216***	−56.56***	0.951***	−0.0658	−1.155	−0.00438	−0.0388***	1,300***	248	0.321
DPM	3.722	0.154***	0.201***	16.82	−0.157	−0.151	−0.0450	−0.0271	0.0744***	−390.6	248	0.406
DPR	0.843	0.0441	−0.0264	−20.99***	−0.0394	−0.173	0.498	−0.0232	−0.0261***	446.9***	237	0.100
DRC	1.680	0.0408	0.0497	4.584	−0.0783	−0.0415	−0.480	−0.0184	−0.00339	−96.21	244	0.057
DXG	10.98*	0.107**	0.628***	8.308	−0.521*	−0.284***	−2.074***	0.000537	−0.0197	−168.2	247	0.625
FCN	1.770	−0.00996	0.195***	−6.970	−0.0857	−0.192	−0.938	−0.0176	−0.00989	152.3	247	0.199
GMD	17.96	0.0826*	0.317***	−2.400	−0.820	−0.496***	−2.325**	−0.0231*	−0.0431***	70.55	244	0.459
GTN	−1.652	0.0247	0.750***	−2.678	0.0792	−0.0130	−0.454*	−0.000378	0.00503	56.53	196	0.546
HAG	−2.944	0.127**	0.576***	−18.53**	0.130	−0.204	−1.672**	−0.00833	−0.0528*	437.2**	243	0.576
HBC	−4.538	0.0548	0.500***	−1.370	0.211	−0.146	−1.438***	0.00260	−0.0277	35.47	246	0.610
HNG	19.14***	−0.00574	0.408*	66.64***	−0.860***	0.0663	−0.174	−0.00430	0.0285	−1,486***	149	0.417
HPG	−4.524	0.0904*	0.255***	−6.712	0.190	−0.329**	−1.106	−0.00252	−0.0539***	172.7	219	0.493
HQC	−2.583**	−0.0159	0.654***	−1.723	0.126**	−0.237***	−1.554***	0.0285***	−0.00692	34.44	243	0.690
HT1	0.467	0.0184	0.0637	2.217	−0.0212	0.0268	−0.0906	−0.00788	−0.00713	−48.52	245	0.025
IJC	3.908	0.126***	0.286***	2.176	−0.180	−0.270**	−1.000*	0.0185	0.00166	−49.03	233	0.270
IMP	−3.187	−0.0193	−0.00438	−12.42**	0.152	−0.00641	0.362	−0.0804	0.0327**	259.1**	244	0.035
KBC	10.73***	0.0725***	0.478***	23.13***	−0.474***	−0.0783	−1.938***	−0.000416	−0.00839	−520.7***	247	0.680
KDC	−0.230	0.0722*	0.315***	1.166	0.00569	−0.0174	−1.722**	−0.00127	0.00140	−19.74	243	0.428
KSB	−0.857	−0.0289	0.928***	−0.959	0.0403	−0.0182	0.328	−0.00379	0.00542	20.04	238	0.454
LDG	−14.73*	0.170*	0.341***	−30.66**	0.746*	−0.202	−2.239*	−0.104***	−0.219***	668.6**	149	0.565
MBB	−2.435	0.0461	0.275***	6.157	0.0978	−0.133	−1.466**	−0.00239	0.00411	−137.4	245	0.425
MWG	−7.547	0.144**	0.458***	−11.26*	0.320	−0.538**	−1.166	−0.00427	−0.105***	285.2**	195	0.620
NBB	−0.444	−0.0253	0.198***	0.0835	0.0213	0.108	0.458	−0.0594*	0.00376	0.251	236	0.074
NKG	0.230	0.0305	0.477***	−6.032	−0.0133	−0.195	−0.918	−0.00904	0.0189	127.7	246	0.461
NLG	2.581	0.0147	−0.0322	−3.017	−0.118	−0.328***	0.603	0.00299	−0.00919	66.04	236	0.125
NT2	−0.000580	4.05e-05	0.837***	0.0154	2.44e-05	−1.98e-05	−0.00726**	6.45e-05	0.000152	−0.366	149	0.453
PDR	1.427	0.0464	0.787***	0.954	−0.0660	−0.247**	−0.509	0.00274	−0.0204	−17.85	226	0.500
PHR	4.325	0.0101	−0.0234	3.405	−0.202	−0.101	0.701	−0.0132	−0.0243***	−69.00	231	0.093
PTB	−4.203***	−0.00603	0.238***	−3.662	0.198***	0.0438	−0.405	−0.00439	−0.0105	80.42	245	0.134
PVD	0.0428	0.133***	0.627***	−1.684	−0.00453	−0.172**	−1.180*	0.00512	0.00847	44.02	247	0.531
PVT	−13.56	0.134***	0.320***	−29.25	0.622	−0.532***	−1.975**	−0.0276	0.0232*	647.6	247	0.423
QCG	−1.199	−0.0172	0.0902	−0.220	0.0565	0.0598	0.172	−0.0263	0.0114	5.215	239	0.043
REE	−4.336	0.167***	0.373***	−49.46*	0.187	−1.029***	−1.931	−0.0246*	−0.0216	1,141*	245	0.516
SJD	0.853	−0.0123	−0.00372	3.356	−0.0412	−0.119	−0.479	−0.0718	−0.0259*	−62.72	238	0.033
SJS	−1.220	−0.00811	0.648***	4.299	0.0562	0.164***	−0.819***	0.0322**	−0.00616	−92.21	247	0.612
SKG	−5.225***	0.0504**	−0.112	−8.785***	0.244***	−0.0615	0.266	−0.0175	−0.0165**	190.6***	198	0.242
STB	17.19	0.00356	0.268***	−5.672	−0.732	−0.347**	−1.411**	0.00177	−0.0419**	148.9	241	0.410
STG	2.176	−0.123*	−0.116	−21.37***	−0.109	0.0280	1.402*	−0.0781	0.0777**	424.2***	153	0.289
VHC	4.568***	−0.0414	0.672***	−0.717	−0.207***	0.000104	−0.574	0.0214	0.0204*	14.94	245	0.449
VNM	−50.22***	0.0195	0.0877	−116.5***	1.948***	−0.224	−0.502	−0.00333	0.0217	3,005***	193	0.577
VSC	−0.910	0.00409	0.268***	−4.211	0.0425	−0.122	−0.804	−0.00844	−0.00593	93.78	245	0.196

Ticker	SVI	SVI market	Lag_amihud	size	size × SVI	Week return	returnsd	Weekvol	Lag_time	Constant	n	Adj. R²
BFC	4.372	0.108**	0.203	8.285	−0.208	0.231	−0.367	−0.0209	−0.00648	−175.0	147	0.111
CAV	3.866	0.0492	−0.0321	6.014	−0.180	0.0361	−0.328	−0.0593	−0.00506	−127.1	190	0.042
CII	0.484	0.0364	0.0968**	5.334*	−0.0188	0.129	−1.679***	0.00170	−0.0358***	−115.2*	244	0.084
CTD	9.238***	−0.0248	−0.196***	−3.043	−0.404***	−0.220	−0.254	0.00639	−0.00673	70.31	243	0.181
CTG	−9.574	0.0739	0.324***	−27.59	0.381	−0.415**	−1.378*	0.00150	−0.0415***	699.1*	236	0.438
CTI	−6.818***	0.00960	0.106	−26.94***	0.333***	−0.209	0.463	0.00555	0.0111	549.1***	190	0.442
DCM	10.18	0.0676	0.323***	−28.26	−0.457	0.0209	−0.449	−0.0234	−0.114**	662.0	147	0.258
DHG	−21.71***	0.0625	0.216***	−56.56***	0.951***	−0.0658	−1.155	−0.00438	−0.0388***	1,300***	248	0.321
DPM	3.722	0.154***	0.201***	16.82	−0.157	−0.151	−0.0450	−0.0271	0.0744***	−390.6	248	0.406
DPR	0.843	0.0441	−0.0264	−20.99***	−0.0394	−0.173	0.498	−0.0232	−0.0261***	446.9***	237	0.100
DRC	1.680	0.0408	0.0497	4.584	−0.0783	−0.0415	−0.480	−0.0184	−0.00339	−96.21	244	0.057
DXG	10.98*	0.107**	0.628***	8.308	−0.521*	−0.284***	−2.074***	0.000537	−0.0197	−168.2	247	0.625
FCN	1.770	−0.00996	0.195***	−6.970	−0.0857	−0.192	−0.938	−0.0176	−0.00989	152.3	247	0.199
GMD	17.96	0.0826*	0.317***	−2.400	−0.820	−0.496***	−2.325**	−0.0231*	−0.0431***	70.55	244	0.459
GTN	−1.652	0.0247	0.750***	−2.678	0.0792	−0.0130	−0.454*	−0.000378	0.00503	56.53	196	0.546
HAG	−2.944	0.127**	0.576***	−18.53**	0.130	−0.204	−1.672**	−0.00833	−0.0528*	437.2**	243	0.576
HBC	−4.538	0.0548	0.500***	−1.370	0.211	−0.146	−1.438***	0.00260	−0.0277	35.47	246	0.610
HNG	19.14***	−0.00574	0.408*	66.64***	−0.860***	0.0663	−0.174	−0.00430	0.0285	−1,486***	149	0.417
HPG	−4.524	0.0904*	0.255***	−6.712	0.190	−0.329**	−1.106	−0.00252	−0.0539***	172.7	219	0.493
HQC	−2.583**	−0.0159	0.654***	−1.723	0.126**	−0.237***	−1.554***	0.0285***	−0.00692	34.44	243	0.690
HT1	0.467	0.0184	0.0637	2.217	−0.0212	0.0268	−0.0906	−0.00788	−0.00713	−48.52	245	0.025
IJC	3.908	0.126***	0.286***	2.176	−0.180	−0.270**	−1.000*	0.0185	0.00166	−49.03	233	0.270
IMP	−3.187	−0.0193	−0.00438	−12.42**	0.152	−0.00641	0.362	−0.0804	0.0327**	259.1**	244	0.035
KBC	10.73***	0.0725***	0.478***	23.13***	−0.474***	−0.0783	−1.938***	−0.000416	−0.00839	−520.7***	247	0.680
KDC	−0.230	0.0722*	0.315***	1.166	0.00569	−0.0174	−1.722**	−0.00127	0.00140	−19.74	243	0.428
KSB	−0.857	−0.0289	0.928***	−0.959	0.0403	−0.0182	0.328	−0.00379	0.00542	20.04	238	0.454
LDG	−14.73*	0.170*	0.341***	−30.66**	0.746*	−0.202	−2.239*	−0.104***	−0.219***	668.6**	149	0.565
MBB	−2.435	0.0461	0.275***	6.157	0.0978	−0.133	−1.466**	−0.00239	0.00411	−137.4	245	0.425
MWG	−7.547	0.144**	0.458***	−11.26*	0.320	−0.538**	−1.166	−0.00427	−0.105***	285.2**	195	0.620
NBB	−0.444	−0.0253	0.198***	0.0835	0.0213	0.108	0.458	−0.0594*	0.00376	0.251	236	0.074
NKG	0.230	0.0305	0.477***	−6.032	−0.0133	−0.195	−0.918	−0.00904	0.0189	127.7	246	0.461
NLG	2.581	0.0147	−0.0322	−3.017	−0.118	−0.328***	0.603	0.00299	−0.00919	66.04	236	0.125
NT2	−0.000580	4.05e-05	0.837***	0.0154	2.44e-05	−1.98e-05	−0.00726**	6.45e-05	0.000152	−0.366	149	0.453
PDR	1.427	0.0464	0.787***	0.954	−0.0660	−0.247**	−0.509	0.00274	−0.0204	−17.85	226	0.500
PHR	4.325	0.0101	−0.0234	3.405	−0.202	−0.101	0.701	−0.0132	−0.0243***	−69.00	231	0.093
PTB	−4.203***	−0.00603	0.238***	−3.662	0.198***	0.0438	−0.405	−0.00439	−0.0105	80.42	245	0.134
PVD	0.0428	0.133***	0.627***	−1.684	−0.00453	−0.172**	−1.180*	0.00512	0.00847	44.02	247	0.531
PVT	−13.56	0.134***	0.320***	−29.25	0.622	−0.532***	−1.975**	−0.0276	0.0232*	647.6	247	0.423
QCG	−1.199	−0.0172	0.0902	−0.220	0.0565	0.0598	0.172	−0.0263	0.0114	5.215	239	0.043
REE	−4.336	0.167***	0.373***	−49.46*	0.187	−1.029***	−1.931	−0.0246*	−0.0216	1,141*	245	0.516
SJD	0.853	−0.0123	−0.00372	3.356	−0.0412	−0.119	−0.479	−0.0718	−0.0259*	−62.72	238	0.033
SJS	−1.220	−0.00811	0.648***	4.299	0.0562	0.164***	−0.819***	0.0322**	−0.00616	−92.21	247	0.612
SKG	−5.225***	0.0504**	−0.112	−8.785***	0.244***	−0.0615	0.266	−0.0175	−0.0165**	190.6***	198	0.242
STB	17.19	0.00356	0.268***	−5.672	−0.732	−0.347**	−1.411**	0.00177	−0.0419**	148.9	241	0.410
STG	2.176	−0.123*	−0.116	−21.37***	−0.109	0.0280	1.402*	−0.0781	0.0777**	424.2***	153	0.289
VHC	4.568***	−0.0414	0.672***	−0.717	−0.207***	0.000104	−0.574	0.0214	0.0204*	14.94	245	0.449
VNM	−50.22***	0.0195	0.0877	−116.5***	1.948***	−0.224	−0.502	−0.00333	0.0217	3,005***	193	0.577
VSC	−0.910	0.00409	0.268***	−4.211	0.0425	−0.122	−0.804	−0.00844	−0.00593	93.78	245	0.196

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

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