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Table 4 UQR estimates—PIN—Yan and Zhang (2012) as dependent

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

Variables

Quantiles

10th

25th

50th

75th

90th

Model 1

Model 2

Model 3

Model 4

Model 5

Model 6

Model 7

Model 8

Model 9

Model 10

Model 11

Model 12

Model 13

Model 14

Model 15

Lagged

PIN

0.011

(0.606)

0.012

(0.560)

0.015

(0.507)

− 0.087

(0.082)

− 0.086

(0.093)

− 0.081

(0.092)

− 0.159

(0.003)

− 0.166

(0.002)

− 0.164

(0.002)

− 0.152

(0.128)

− 0.164

(0.103)

− 0.170

(0.095)

− 0.079

(0.549)

− 0.086

(0.510)

− 0.083

(0.534)

Quoted

Spread

0.065

(0.006)

0.064

(0.007)

0.065

(0.005)

0.064

(0.043)

0.060

(0.062)

0.062

(0.049)

0.044

(0.207)

0.054

(0.123)

0.047

(0.195)

0.152

(0.028)

0.171

(0.011)

0.157

(0.024)

0.072

(0.158)

0.076

(0.124)

0.081

(0.103)

Traded

Volume

0.031

(0.000)

0.031

(0.000)

0.031

(0.000)

0.024

(0.000)

0.024

(0.000)

0.025

(0.000)

0.024

(0.000)

0.024

(0.000)

0.025

(0.000)

0.024

(0.023)

0.024

(0.022)

0.024

(0.025)

0.016

(0.069)

0.016

(0.065)

0.016

(0.056)

Market capitalization

0.002

(0.036)

0.002

(0.034)

0.002

(0.032)

− 0.001

(0.299)

− 0.001

(0.304)

− 0.001

(0.323)

− 0.001

(0.472)

− 0.001

(0.425)

− 0.001

(0.497)

0.003

(0.404)

0.002

(0.460)

0.002

(0.448)

0.001

(0.895)

0.001

(0.879)

0.001

(0.883)

Realized Volatility

− 0.061

(0.002)

− 0.066

(0.001)

− 0.071

(0.000)

− 0.047

(0.265)

− 0.060

(0.108)

− 0.069

(0.072)

− 0.088

(0.317)

− 0.074

(0.398)

− 0.089

(0.295)

− 0.158

(0.258)

− 0.130

(0.335)

− 0.133

(0.349)

− 0.203

(0.002)

− 0.181

(0.005)

− 0.184

(0.005)

Insider Transaction

− 0.001

(0.243)

− 0.001

(0.107)

− 0.001

(0.065)

0.005

(0.053)

0.005

(0.062)

0.005

(0.077)

0.009

(0.005)

0.009

(0.002)

0.009

(0.006)

0.014

(0.086)

0.015

(0.067)

0.014

(0.077)

0.040

(0.044)

0.040

(0.099)

0.030

(0.083)

Fake

News

0.001

(0.306)

  

0.001

(0.465)

  

0.002

(0.361)

  

0.000

(0.972)

  

0.003

(0.349)

  

Fake news

*Lockdown

− 0.001

(0.740)

  

− 0.005

(0.492)

  

− 0.023

(0.035)

  

− 0.030

(0.096)

  

− 0.009

(0.582)

  

Media

Coverage

 

0.001

(0.345)

  

0.001

(0.348)

  

0.001

(0.615)

  

− 0.002

(0.204)

  

0.001

(0.458)

 

Media cover

*Lockdown

 

− 0.001

(0.620)

  

− 0.001

(0.563)

  

− 0.001

(0.000)

  

− 0.001

(0.030)

  

− 0.001

(0.174)

 

Infodemic

Index

  

0.001

(0.196)

  

0.001

(0.186)

  

0.001

(0.487)

  

0.001

(0.703)

  

0.001

(0.598)

Infodemic

*Lockdown

  

− 0.001

(0.371)

  

− 0.001

(0.433)

  

− 0.001

(0.001)

  

− 0.001

(0.065)

  

− 0.001

(0.212)

R-squared

0.4958

0.4948

0.4934

0.299

0.238

0.2392

0.1062

0.1284

0.1105

0.082

0.0806

0.0799

0.030

0.0365

0.0369

Observation

396

396

396

396

396

396

396

396

396

396

396

396

396

396

396

  1. We use a Gaussian kernel for the coefficients, while the robust standard errors were bootstrapped with 200 replications (Borgen 2016). The p values are reported in parentheses