\(Trades_{i,t}\) | \(Turnover_{i,t}\) | |||
---|---|---|---|---|
(1) | (2) | (3) | (4) | |
FE | SYS-GMM | FE | SYS-GMM | |
\(Leader\ count_{i,t-1}\) | 0.0197\(^{***}\) | 0.0221\(^{**}\) | 0.0186\(^{***}\) | 0.0351\(^{**}\) |
(4.35) | (2.13) | (3.24) | (2.48) | |
\(\text{Leader positive}_{i,t-1}\) | 0.0386 | − 2.0590 | 0.0924 | − 0.7023 |
(0.51) | (− 1.58) | (0.82) | (− 0.54) | |
\(Leader\ negative_{i,t-1}\) | − 0.1029 | − 0.8477 | − 0.0395 | 0.3755 |
(− 1.26) | (−0.76) | (− 0.34) | (0.27) | |
\(Return_{i,t-1}\) | 0.6394\(^{***}\) | 0.6918\(^{***}\) | 0.0698 | 0.7521\(^{***}\) |
(5.86) | (4.24) | (0.47) | (3.86) | |
\(Return\ SD_{i,t-1}\) | 0.4159\(^{**}\) | 2.0980\(^{**}\) | 0.8850\(^{***}\) | 1.9590 |
(2.07) | (2.10) | (2.95) | (1.07) | |
\(No.securities_{i,t-1}\) | 0.4640\(^{***}\) | 0.0092 | 0.2987\(^{***}\) | − 0.0429\(^{**}\) |
(23.84) | (0.86) | (15.03) | (− 2.55) | |
\(No.followers_{i,t-1}\) | 0.0694\(^{**}\) | 0.7378\(^{**}\) | 0.0845\(^{***}\) | 0.0730\(^{*}\) |
(2.09) | (2.44) | (2.80) | (1.91) | |
\(Portfolio\ age_{i,t-1}\) | − 0.1435\(^{***}\) | −0.0213\(^{***}\) | −0.1412\(^{***}\) | −0.0200\(^{*}\) |
(− 6.54) | (−2.92) | (−4.77) | (− 1.73) | |
\(No.leaders_{i,t-1}\) | 0.0921\(^{***}\) | 0.0225 | 0.0708\(^{***}\) | − 0.0096 |
(4.50) | (1.20) | (3.50) | (− 0.43) | |
\(Leader\ return_{i,t-1}\) | 0.2166\(^{*}\) | 0.0225\(^{**}\) | 0.3518\(^{**}\) | 1.0923 |
(1.92) | (2.12) | (2.56) | (0.57) | |
\(Leader\ SD_{i,t-1}\) | 0.5769 | 1.9864 | 0.4285 | 5.3585\(^{**}\) |
(1.55) | (1.15) | (1.05) | (2.25) | |
\(Leader\ trades_{i,t-1}\) | 0.0504\(^{***}\) | − 0.0290 | 0.0365\(^{**}\) | 0.0158 |
(4.43) | (− 1.02) | (2.26) | (0.38) | |
\(Leader\ followers_{i,t-1}\) | 0.0132 | 0.0049 | 0.0117 | − 0.0115 |
(1.25) | (0.54) | (0.87) | (− 0.89) | |
\(Leader\ securities_{i,t-1}\) | 0.0172 | − 0.0010 | 0.0364 | − 0.0130 |
(1.06) | (− 0.08) | (1.53) | (− 0.62) | |
\(Leader\ age_{i,t-1}\) | − 0.0380\(^{***}\) | − 0.0182 | − 0.0416\(^{***}\) | − 0.0152 |
(−3.47) | (− 1.49) | (− 2.94) | (− 0.80) | |
\(Y_{i,t-1}\) | 0.8229\(^{***}\) | 0.6755\(^{***}\) | ||
(12.40) | (5.51) | |||
\(Y_{i,t-2}\) | − 0.0780 | − 0.0514 | ||
(− 0.50) | (− 0.33) | |||
\(Y_{i,t-3}\) | 0.0917 | 0.0533 | ||
(0.91) | (0.42) | |||
\(Y_{i,t-4}\) | − 0.0078 | 0.1039 | ||
(− 0.63) | (0.72) | |||
\(Y_{i,t-5}\) | − 0.0058 | − 0.0091 | ||
(− 0.82) | (− 0.34) | |||
Portfolio fixed effects | Yes | Yes | Yes | Yes |
Time fixed effects | Yes | Yes | Yes | Yes |
Observations | 150,447 | 140,419 | 150,447 | 140,419 |
Adjusted \(R^2\) | 0.3521 | – | 0.3566 | – |
AR(1) test (p value) | – | 0.000 | – | 0.000 |
AR(2) test (p value) | – | 0.158 | – | 0.427 |
Hansen test of over-identification (p value) | – | 0.449 | – | 0.446 |
Diff-in-Hansen test of exogeneity (p value) | – | 0.539 | – | 0.598 |