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) | Â | Â | 0.001 (0.465) | Â | Â | 0.002 (0.361) | Â | Â | 0.000 (0.972) | Â | Â | 0.003 (0.349) | Â | Â |
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 | Â | Â | 0.001 (0.196) | Â | Â | 0.001 (0.186) | Â | Â | 0.001 (0.487) | Â | Â | 0.001 (0.703) | Â | Â | 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 |