From: Non-Value-Added Tax to improve market fairness and quality
Regime 1 | Regime 2 | Regime 3 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Abs. return | Abs. return | Abs. return | |||||||||
Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value |
4.991e−05 | 6.002e−06 | 0.0007072 | \(<2e-16***\) | − 9.077e−05 | 6.046e−06 | 0.002319 | \(<2e-16***\) | − 9.101e−05 | 6.095e−06 | 0.002315 | \(<2e-16***\) |
Sqrt return | Sqrt return | Sqrt return | |||||||||
Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value |
− 3.369e−07 | 6.829e−08 | 0.0002423 | \(8.07e-07***\) | − 5.997e−07 | 6.868e−08 | 0.0007787 | \(<2e-16***\) | − 5.988e−07 | 6.893e−08 | 0.0007779 | \(<2e-16***\) |
\(\sigma _k\) | \(\sigma _k\) | \(\sigma _k\) | |||||||||
Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value |
− 4.829e−05 | 7.341e−06 | 0.0004386 | \(4.78e-11***\) | − 8.083e−05 | 7.374e−06 | 0.001233 | \(<2e-16***\) | − 8.258e−05 | 7.442e−06 | 0.001275 | \(<2e-16***\) |
Deviation from fundamental, % | Deviation from fundamental, % | Deviation from fundamental, % | |||||||||
Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value |
0.073625 | 0.013028 | 0.0003209 | \(1.6e-08***\) | 0.09409 | 0.01228 | 0.0005973 | \(1.83e-14***\) | 0.07187 | 0.01478 | 0.0002366 | \(1.16e-06***\) |
Volume | Volume | Volume | |||||||||
Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value | Tax | (s.e.) | adj. \(R^2\) | p value |
− 387.7 | 124.9 | 0.004303 | \(0.00193**\) | − 695.3 | 120.2 | 0.01597 | \(8.46e-09***\) | − 826.94 | 135.46 | 0.01782 | \(1.23e-09***\) |