Bank loan information and information asymmetry in the stock market: evidence from China

Financial Innovation

Table 7 Relationship between VPIN or Bid-Ask Spread and loan information

Variables	VPIN		Bid-Ask Spread
Variables	1	2	3	4
Loan size	\(-\) 0.0017**		\(-\) 0.0067*
Loan size	(\(-\) 2.47)		(\(-\) 1.74)
OL rate		0.0065***		0.0461***
OL rate		(2.94)		(4.53)
Controls	Yes	Yes	Yes	Yes
Year \(\times\) industry-fixed effect	Yes	Yes	Yes	Yes
Firm-fixed effect	Yes	Yes	Yes	Yes
Adjusted \(R^2\)	0.4782	0.4628	0.6470	0.6689
Obs.	43,525	26,893	43,525	26,893

This table reports the OLS results of the tests on the relationships between VPIN or Bid-Ask Spread and loan information. It represents the results of the regression: \(VPIN_{i,t}/Bid-Ask Spread_{i,t}=\alpha +\beta _{1}\times Positive\_loan\_information_{i,t}/Loan\_default_{i,t}+\sum \beta _{i}\times Control_{i,t}+\varepsilon _{i,t}\), with VPIN defined as the absolute value of the difference between sell trades and buy trades divided by total trades. Bid-Ask Spread is calculated as the difference between bid price and ask price, to measure market liquidity. The control variables in previous tables are included in the regressions. The t-statistics reported are based on standard errors clustered by firm. Symbols *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively