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Table 5 Robustness tests OLS regressions using the US volume to compute the return of the market index

From: The witching week of herding on bitcoin exchanges

 

Before expiration

After expiration

 

Rm2 Dexp

p-value

Rm2 (1-Dexp)

p-value

Rm2 Dexp

p-value

Rm2 (1-Dexp)

p-value

D0

− 0.053979

0.67

0.130189***

0.00

    

D1

− 0.250259

0.11

0.130464***

0.00

0.388974

0.85

0.129033***

0.00

D2

− 0.250472**

0.03

0.130403***

0.00

− 0.769407

0.57

0.128967***

0.00

D3

− 0.176641*

0.08

0.130074***

0.00

− 1.432647

0.17

0.128811***

0.00

D4

− 0.148310*

0.10

0.129895***

0.00

− 0.643818**

0.01

0.128847***

0.00

D5

− 0.194445**

0.03

0.129967***

0.00

1.680901

0.26

0.129735***

0.00

D6

− 0.191027**

0.02

0.129779***

0.00

1.579844

0.27

0.129743***

0.00

D7

− 0.209440**

0.01

0.129641***

0.00

− 0.616743**

0.01

0.12927***

0.00

D8

− 0.251632***

0.00

0.129823***

0.00

− 0.613975**

0.01

0.129371***

0.00

D9

− 0.293610***

0.00

0.129984***

0.00

− 0.580343***

0.00

0.129977***

0.00

D10

− 0.289650***

0.00

0.129958***

0.00

− 0.287979**

0.05

0.132318***

0.00

D11

− 0.269501***

0.00

0.129698***

0.00

− 0.266867*

0.06

0.132208***

0.00

D12

− 0.250075***

0.00

0.12955***

0.00

− 0.23315*

0.07

0.131977***

0.00

D24

− 0.217145**

0.02

0.129434***

0.00

− 0.223279

0.34

0.133618***

0.00

D36

− 0.210673**

0.02

0.127982***

0.00

− 0.003387

0.98

0.131698***

0.00

D48

− 0.200823***

0.00

0.128431***

0.00

− 0.07922

0.52

0.133018***

0.00

D60

− 0.222531***

0.00

0.127654***

0.00

− 0.041301

0.74

0.132417***

0.00

D72

− 0.168169***

0.00

0.130481***

0.00

− 0.024072

0.85

0.13192***

0.00

D84

− 0.156841***

0.00

0.129151***

0.00

0.395257

0.16

0.120234***

0.00

D96

− 0.142887***

0.00

0.126423***

0.00

0.370497

0.19

0.120421***

0.00

D108

− 0.139415***

0.00

0.127735***

0.00

0.373491

0.18

0.119851***

0.00

D120

− 0.141292***

0.00

0.127462***

0.00

0.376754

0.17

0.119123***

0.00

D132

− 0.139337***

0.00

0.126884***

0.00

0.36893

0.17

0.118529***

0.00

D144

− 0.015067

0.90

0.124704***

0.00

0.366243

0.17

0.116988***

0.00

D150

− 0.018918

0.88

0.124733***

0.00

0.361358

0.17

0.116555***

0.00

  1. The table shows the estimates of Eq. (3) including five lags of CSAD\(CSAD_{t} = \gamma _{0} + \gamma _{1} D_{{\exp }} \left| {Rm_{t} } \right| + \gamma _{2} (1 - D_{{\exp }} )\left| {Rm_{t} } \right| + \gamma _{3} D_{{\exp }} Rm_{t}^{2} + \gamma _{4} (1 - D_{{\exp }} )Rm_{t}^{2} + \varepsilon _{t}\)
  2. Dexp is the dummy variable, defined differently, that takes value 1 in specific times around expiration and 0 otherwise. Each raw contains the estimated parameters of the model for one dummy variable associated to Dexp. For example, the dummy variable D1 takes a value of 1 one hour before (after) expiration and 0 otherwise; the dummy variable D2 takes a value of 1 2 h before (after) expiration and 0 otherwise and so on, until D150 that takes a value of 1 150 h before (after) expiration and 0 otherwise. Results using Newey–West heteroscedasticity and autocorrelation consistent estimators. ***, **, * indicate significance at 1%, 5% and 10% respectively