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Table 3 Description of the variables

From: Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market

Name

Symbol

Description

Probability of Informed Trading

PIN

Computed weekly for each company following Yan and Zhang (2012) and Gan et al. (2015). We have split the trading day into intervals as in Pöppe et al. (2016)

Quoted Spread

SQ

The quoted or absolute spread measures the difference between the best ask price and the best bid price. As an observation, the relative spread (used by Chen and Choi 2012) and the absolute spread are highly correlated (higher than 99%). (Source: own computation)

The Logarithm of Weekly Volume

LWAV

We compute the average of the daily number of shares traded within a week. Due to the size of the variable, we consider the logarithm of the weekly volume. (Source: own computation)

The Logarithm of Weekly Market Capitalisation

LWMC

We compute the weekly market capitalization on a firm level. Following Aslan et al. (2011), we consider the logarithm of the weekly market value. (Source: own computation)

Realized Volatility

RV

\(\mathrm{Realized volatility is computed as}: rCo{v}_{t}={\sum }_{i=1}^{M}{r}_{t,i}{r}_{t,i}^{^{\prime}}\) where rt,i is a return vector and \(i=1,.., M\) is the number of intraday returns. (Source: own computation)

The Media Coverage Index

MCI

It shows the percentage of all news sources covering the topic of the novel coronavirus in total news sources covered by RavenPack. Values range between 0 and 100, where a value of 50.00 means that 50% of all sampled news providers are currently covering stories about COVID-19. (Source: https://coronavirus.ravenpack.com/)

The Infodemic Index

INF

It calculates the percentage of all entities such as places, companies, etc. that are somehow associated with COVID-19. Values range between 0 and 100, where a value of 50.00 means that 50% of all entities covered by the media are being associated or co-mentioned with COVID-19. (Source: https://coronavirus.ravenpack.com/)

The Fake News Index

FNI

It measures the level of media chatter about the novel pandemic that refers to misinformation alongside COVID-19. It ranges between 0 and 100. Source: RavenPack (https://coronavirus.ravenpack.com/)

The Insider Transactions

IT

It refers to the volume of the transactions such as purchase trades, sale trades, stock allocation, and share buybacks performed by insiders. (Source: own computation)