Table 3 Effect of investor protection...

Table 3

Effect of investor protection and institutional environment on stock performance

Variable	STD			IVOL			RETURN
	Control of corruption	Rule of law	Creditor right index	Control of corruption	Rule of law	Creditor right index	Control of corruption	Rule of law	Creditor right index
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
ADRI	−0.683***	−0.067***	−0.095***	−0.812***	−0.058***	−0.134***	−0.505***	−0.060***	−0.013***
ADRI	(0.069)	(0.004)	(0.012)	(0.067)	(0.004)	(0.01)	(0.038)	(0.012)	(0.005)
IE	−0.275***	−0.056***	0.002	−0.329***	−0.058***	−0.051***	−0.312***	−0.721***	−0.081***
IE	(0.031)	(0.010)	(0.018)	(0.030)	(0.009)	(0.018)	(0.023)	(0.038)	(0.011)
IE*ADRI	0.072***	0.012***	0.008**	0.087***	0.012***	0.024***	0.069***	0.090***	0.017***
IE*ADRI	(0.008)	(0.002)	(0.003)	(0.008)	(0.002)	(0.003)	(0.006)	(0.008)	(0.003)
MV	−0.165***	−0.165***	−0.164***	−0.162***	−0.162***	−0.162***	−0.018***	−0.018***	0.010***
MV	(0.004)	(0.003)	(0.003)	(0.004)	(0.004)	(0.003)	(0.002)	(0.002)	(0.001)
ROA	−0.040***	−0.040***	−0.040***	−0.037***	−0.037***	−0.037***	0.074***	0.074***	0.072***
ROA	(0.002)	(0.001)	(0.001)	(0.002)	(0.001)	(0.001)	(0.004)	(0.004)	(0.004)
MB	0.002***	0.002***	0.002***	0.002***	0.002***	0.002***	−0.001***	−0.001***	−0.002***
MB	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0003)	(0.0003)	(0.0004)
CH	−0.033***	−0.033***	−0.028***	−0.027***	−0.028***	−0.025***	0.103***	0.101***	0.102***
CH	(0.005)	(0.004)	(0.004)	(0.005)	(0.005)	(0.004)	(0.008)	(0.008)	(0.008)
LIQUID	0.009***	0.009***	0.008***	0.012***	0.012***	0.012***	−0.017***	−0.017***	0.002***
LIQUID	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)
PRICE	−0.015***	−0.015***	−0.017***	−0.014***	−0.014***	−0.016***	−0.043***	−0.041***	−0.022***
PRICE	(0.002)	(0.001)	(0.001)	(0.002)	(0.002)	(0.001)	(0.002)	(0.002)	(0.001)
GDP	0.0004	0.0004	0.002***	0.001	0.001	0.002***	−0.025***	−0.026***	0.004***
GDP	(0.001)	(0.001)	(0.001)	(0.001)	(0.00′)	(0.001)	(0.001)	(0.001)	(0.001)
MCAP	−0.0001***	−0.0001***	−0.0001***	−0.0001***	−0.0001***	−0.0001**	−0.001***	−0.001***	−0.0002***
MCAP	(0.00002)	(0.00003)	(0.00003)	(0.00002)	(0.00002)	(0.00003)	(0.0001)	(0.0001)	(0.00001)
PCREDIT	−0.0002**	−0.0001	0.0001	−0.0002**	−0.0001	−0.0001	−0.004***	−0.002***	0.0003***
PCREDIT	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0002)	(0.0002)	(0.0001)
Constant	4.033***	1.708***	1.639***	4.438***	1.636***	1.720***	3.165***	0.619***	−0.188***
Constant	(0.277)	(0.027)	(0.039)	(0.267)	(0.032)	(0.038)	(0.185)	(0.074)	(0.034)
Observations	156,283	156,982	133,686	156,294	156,993	133,697	155,835	156,523	133,259
R-squared	0.427	0.426	0.437	0.451	0.451	0.458	0.035	0.038	0.036
Fixed effects	CIY	CIY	CIY	CIY	CIY	CIY	CIY	CIY	CIY
Robust and clustered S.E	YES	YES	YES	YES	YES	YES	YES	YES	YES

Variable	STD			IVOL			RETURN
	Control of corruption	Rule of law	Creditor right index	Control of corruption	Rule of law	Creditor right index	Control of corruption	Rule of law	Creditor right index
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
ADRI	−0.683***	−0.067***	−0.095***	−0.812***	−0.058***	−0.134***	−0.505***	−0.060***	−0.013***
ADRI	(0.069)	(0.004)	(0.012)	(0.067)	(0.004)	(0.01)	(0.038)	(0.012)	(0.005)
IE	−0.275***	−0.056***	0.002	−0.329***	−0.058***	−0.051***	−0.312***	−0.721***	−0.081***
IE	(0.031)	(0.010)	(0.018)	(0.030)	(0.009)	(0.018)	(0.023)	(0.038)	(0.011)
IE*ADRI	0.072***	0.012***	0.008**	0.087***	0.012***	0.024***	0.069***	0.090***	0.017***
IE*ADRI	(0.008)	(0.002)	(0.003)	(0.008)	(0.002)	(0.003)	(0.006)	(0.008)	(0.003)
MV	−0.165***	−0.165***	−0.164***	−0.162***	−0.162***	−0.162***	−0.018***	−0.018***	0.010***
MV	(0.004)	(0.003)	(0.003)	(0.004)	(0.004)	(0.003)	(0.002)	(0.002)	(0.001)
ROA	−0.040***	−0.040***	−0.040***	−0.037***	−0.037***	−0.037***	0.074***	0.074***	0.072***
ROA	(0.002)	(0.001)	(0.001)	(0.002)	(0.001)	(0.001)	(0.004)	(0.004)	(0.004)
MB	0.002***	0.002***	0.002***	0.002***	0.002***	0.002***	−0.001***	−0.001***	−0.002***
MB	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0003)	(0.0003)	(0.0004)
CH	−0.033***	−0.033***	−0.028***	−0.027***	−0.028***	−0.025***	0.103***	0.101***	0.102***
CH	(0.005)	(0.004)	(0.004)	(0.005)	(0.005)	(0.004)	(0.008)	(0.008)	(0.008)
LIQUID	0.009***	0.009***	0.008***	0.012***	0.012***	0.012***	−0.017***	−0.017***	0.002***
LIQUID	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)
PRICE	−0.015***	−0.015***	−0.017***	−0.014***	−0.014***	−0.016***	−0.043***	−0.041***	−0.022***
PRICE	(0.002)	(0.001)	(0.001)	(0.002)	(0.002)	(0.001)	(0.002)	(0.002)	(0.001)
GDP	0.0004	0.0004	0.002***	0.001	0.001	0.002***	−0.025***	−0.026***	0.004***
GDP	(0.001)	(0.001)	(0.001)	(0.001)	(0.00′)	(0.001)	(0.001)	(0.001)	(0.001)
MCAP	−0.0001***	−0.0001***	−0.0001***	−0.0001***	−0.0001***	−0.0001**	−0.001***	−0.001***	−0.0002***
MCAP	(0.00002)	(0.00003)	(0.00003)	(0.00002)	(0.00002)	(0.00003)	(0.0001)	(0.0001)	(0.00001)
PCREDIT	−0.0002**	−0.0001	0.0001	−0.0002**	−0.0001	−0.0001	−0.004***	−0.002***	0.0003***
PCREDIT	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0002)	(0.0002)	(0.0001)
Constant	4.033***	1.708***	1.639***	4.438***	1.636***	1.720***	3.165***	0.619***	−0.188***
Constant	(0.277)	(0.027)	(0.039)	(0.267)	(0.032)	(0.038)	(0.185)	(0.074)	(0.034)
Observations	156,283	156,982	133,686	156,294	156,993	133,697	155,835	156,523	133,259
R-squared	0.427	0.426	0.437	0.451	0.451	0.458	0.035	0.038	0.036
Fixed effects	CIY	CIY	CIY	CIY	CIY	CIY	CIY	CIY	CIY
Robust and clustered S.E	YES	YES	YES	YES	YES	YES	YES	YES	YES

Note(s): This table presents the effect of institutional environment on the relationship between investor protection (ADRI) and stock performance. Institutional environment (IE) variables include: Control of Corruption, Rule of Law, and Creditor Right Index. The dependent variable is the standard deviation of stock return (STD) for columns (1)–(3), idiosyncratic risk (IVOL) for columns (4)–(6), and stock return (RETURN) for columns (7)–(9). Control variables enter the regressions with a one-year lag. All regressions control for country, year-, and industry-fixed effects. Robust standard errors are in parentheses. Superscripts *, ** and *** indicate significance at the 10%, 5% and 1%, respectively

Source(s): Authors' own work

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