Table A2 Estimation results for model...

Table A2

Estimation results for model robustness. SM (A) and (B) indicates standardization methods by Bijl et al. (2016) and Da et al. (2011) respectively

Variables	Returns		Trading volume		Volatility
Variables	SM: A	SM: B	SM: A	SM: B	SM: A	SM: B
$Constant$	−0.0420***	−0.0447***	0.184	−0.191	0.008***	0.009***
${Return}_{t - 1}$	0.2989**	0.3136***	−7.575***	−1.864**	−0.015	−0.011
${Return}_{t - 2}$	0.0063	−0.0499	−0.344	−0.500	0.008	0.004
${Return}_{t - 3}$	−0.0382	0.0422	−1.230	0.102	0.0002	0.002
${Return}_{t - 4}$	−0.023	−0.0257	1.284	0.613	−0.006	−0.003
${Return}_{t - 5}$	0.0477	0.0633	−3.908	−0.536	0.003	0.011
${Volume}_{t - 1}$	−0.0009	−0.0012	0.411***	0.367***	0.0005*	0.001*
${Volume}_{t - 2}$	−0.0023	−0.0016	0.003*	−0.134**	−0.0002	0.0001
${Volume}_{t - 3}$	0.0003	−0.00009	−0.097	0.114	−0.0003	0.0009
${Volume}_{t - 4}$	−0.0022	−0.0018	0.123*	0.100*	0.0002*	0.001*
${Volume}_{t - 5}$	0.0015	0.00002	0.160*	−0.139*	0.0002	−0.0008
${Volatility}_{t - 1}$	0.2164	0.6844	−30.264	−10.683	0.143*	0.159**
${Volatility}_{t - 2}$	0.5015	0.1020	18.491*	−5.654**	0.0278	−0.045
${Volatility}_{t - 3}$	1.4482	1.4942**	73.890***	24.375*	0.328***	0.225***
${Volatility}_{t - 4}$	−0.2415	−0.2485	−16.792	−0.796	0.176**	0.183**
${Volatility}_{t - 5}$	0.2558	0.5972	−73.140**	1.712*	−0.291*	−0.208**
${Wiki}_{t - 1}$	0.0003*	0.0037	−0.154	0.568**	−0.0002	0.004
${Wiki}_{t - 2}$	−0.0082***	−0.043*	0.299	−0.602*	0.0001	0.001
${Wiki}_{t - 3}$	0.0064**	0.0094*	−0.248	0.199	−0.00009	0.0004
${Wiki}_{t - 4}$	−0.0007	−0.0218	−0.111	0.337	−0.0002	−0.003
${Wiki}_{t - 5}$	−0.0048**	−0.0042*	0.118	−0.175	0.0001	−0.002
${GSVI}_{t - 1}$	−0.0045*	−0.0154	−0.058	0.145	0.00030	−0.00008
${GSVI}_{t - 2}$	0.0044	0.0367*	0.088	0.217	0.0001	0.002
${GSVI}_{t - 3}$	0.00006	−0.0362	0.020	0.089	0.00001	0.00009
${GSVI}_{t - 3}$	−0.0009	0.0522	−0.141	0.105	−0.005**	−0.001
${GSVI}_{t - 5}$	−0.0003	−0.0343	0.006	0.079	0.00004	0.0002
R Squared	0.303	0.3122	0.345	0.340	0.320	0.317
Adjusted R²	0.206	0.2161	0.253	0.248	0.225	0.221
Durbin–Watson	2.003	2.0003	2.038	1.998	2.004	1.996

Variables	Returns		Trading volume		Volatility
Variables	SM: A	SM: B	SM: A	SM: B	SM: A	SM: B
$Constant$	−0.0420***	−0.0447***	0.184	−0.191	0.008***	0.009***
${Return}_{t - 1}$	0.2989**	0.3136***	−7.575***	−1.864**	−0.015	−0.011
${Return}_{t - 2}$	0.0063	−0.0499	−0.344	−0.500	0.008	0.004
${Return}_{t - 3}$	−0.0382	0.0422	−1.230	0.102	0.0002	0.002
${Return}_{t - 4}$	−0.023	−0.0257	1.284	0.613	−0.006	−0.003
${Return}_{t - 5}$	0.0477	0.0633	−3.908	−0.536	0.003	0.011
${Volume}_{t - 1}$	−0.0009	−0.0012	0.411***	0.367***	0.0005*	0.001*
${Volume}_{t - 2}$	−0.0023	−0.0016	0.003*	−0.134**	−0.0002	0.0001
${Volume}_{t - 3}$	0.0003	−0.00009	−0.097	0.114	−0.0003	0.0009
${Volume}_{t - 4}$	−0.0022	−0.0018	0.123*	0.100*	0.0002*	0.001*
${Volume}_{t - 5}$	0.0015	0.00002	0.160*	−0.139*	0.0002	−0.0008
${Volatility}_{t - 1}$	0.2164	0.6844	−30.264	−10.683	0.143*	0.159**
${Volatility}_{t - 2}$	0.5015	0.1020	18.491*	−5.654**	0.0278	−0.045
${Volatility}_{t - 3}$	1.4482	1.4942**	73.890***	24.375*	0.328***	0.225***
${Volatility}_{t - 4}$	−0.2415	−0.2485	−16.792	−0.796	0.176**	0.183**
${Volatility}_{t - 5}$	0.2558	0.5972	−73.140**	1.712*	−0.291*	−0.208**
${Wiki}_{t - 1}$	0.0003*	0.0037	−0.154	0.568**	−0.0002	0.004
${Wiki}_{t - 2}$	−0.0082***	−0.043*	0.299	−0.602*	0.0001	0.001
${Wiki}_{t - 3}$	0.0064**	0.0094*	−0.248	0.199	−0.00009	0.0004
${Wiki}_{t - 4}$	−0.0007	−0.0218	−0.111	0.337	−0.0002	−0.003
${Wiki}_{t - 5}$	−0.0048**	−0.0042*	0.118	−0.175	0.0001	−0.002
${GSVI}_{t - 1}$	−0.0045*	−0.0154	−0.058	0.145	0.00030	−0.00008
${GSVI}_{t - 2}$	0.0044	0.0367*	0.088	0.217	0.0001	0.002
${GSVI}_{t - 3}$	0.00006	−0.0362	0.020	0.089	0.00001	0.00009
${GSVI}_{t - 3}$	−0.0009	0.0522	−0.141	0.105	−0.005**	−0.001
${GSVI}_{t - 5}$	−0.0003	−0.0343	0.006	0.079	0.00004	0.0002
R Squared	0.303	0.3122	0.345	0.340	0.320	0.317
Adjusted R²	0.206	0.2161	0.253	0.248	0.225	0.221
Durbin–Watson	2.003	2.0003	2.038	1.998	2.004	1.996

Note(s): Robust standard errors are reported in square bracket and significant level

*p-value < 0.1; **p-value < 0.05; ***p-value < 0.01

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