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Financial Innovation

Table 2 Unconditional hourly herding

From: The witching week of herding on bitcoin exchanges

 

Intercept

|Rm|

Rm2

R-squared

Coefficient

0.000094***

0.022284***

0.119712***

0.51

p-value

0.00

0.00

0.00

 
  1. The table shows the estimates of the following model: \(CSAD_{t} = \gamma _{0} + \gamma _{1} \left| {Rm_{t} } \right| + \gamma _{2} Rm_{t}^{2} + \varepsilon _{t}\) Estimation includes five lags of CSAD. Results using Newey–West heteroscedasticity and autocorrelation consistent estimators. ***, **, * indicate significance at 1%, 5% and 10% respectively.
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